S&P 500 Index options data imply expected S&P 500 Index volatility (VIX) over the next month. In turn, VIX futures options data imply expected volatility of VIX (VVIX) over the next month. Does VVIX predict stock...
Do hedge fund-like mutual funds work like hedge funds? In his September 2014 paper entitled “Hedge Funds versus Mutual Funds (2): An Examination of Multialternative Mutual Funds”, David McCarthy evaluates mutual funds categorized by Morningstar as “multialternative” after...
Does adjusting an asset allocation retirement glidepath according to a stock market valuation metric such as Shiller’s cyclically adjusted price-earnings ratio (CAPE ratio or P/E10) improve the outcome? In their September 2014 paper entitled “Retirement...
“Intraday U.S. Stock Market Behavior” examines behavior of the S&P 500 Index at 15-minute intervals over the trading day during each of 2007 (bullish year) and 2008 (bearish year), finding slight tendencies for market weakness...
How successful are active equity mutual fund managers in timing their domestic markets worldwide? In their August 2014 paper entitled “Market Timing Around the World”, Javier Vidal-Garcia, Marta Vidal and Duc Khuong Nguyen employ daily returns to measure the effectiveness...
Is the return on CBOE S&P 500 Volatility Index (VIX) futures predictable? In his preliminary paper entitled “The Expected Return of Fear”, Ing-Haw Cheng investigates whether the relationship between VIX futures prices and VIX level predicts the return on...
A subscriber proposed a simple test of the concept underlying the First Trust Dorsey Wright Focus 5 ETF (FV). This exchange-traded fund (ETF) intends to track the Dorsey Wright Focus Five Index, an equally weighted and...
The deadline for submission of papers for the 2015 Charles H. Dow Award, presented by the Market Technicians Association (MTA), is January 5, 2015. MTA established this award in 1994 to recognize outstanding research in technical analysis....
Are changes in the money supply usefully predictive of stock market behavior? In his September 2014 paper entitled “Does Money Supply Growth Contain Predictive Power for Stock Returns?”, David McMillan investigates whether changes in U.S. money supply reliably...
Do stock pairs that track in the past reliably track in the future? In his January 2014 paper entitled “On the Persistence of Cointegration in Pairs Trading”, Matthew Clegg assesses the persistence of cointegration among pairs of...
Are there times when investors should avoid low-volatility stocks? In their August 2014 paper entitled “Tactical Timing of Low Volatility Equity Strategies”, Sanne De Boer and James Norman investigate which factors predict the performance of low-volatility...
Is the Turn-of-the-Month (TOTM) effect globally ubiquitous and persistent? In his August 2014 paper entitled “The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model”, Eleftherios Giovanis examines the TOTM effect in 20 country stock...
Does playing trends both ways via periodic rebalancing (betting on reversion) and momentum (betting on continuation) reliably produce attractive outcomes? In the August 2014 version of their paper entitled “Rebalancing Risk”, Nick Granger, Doug Greenig, Campbell...
Should investors seeking leveraged positions in gold prefer futures or leveraged exchanged-traded funds (ETF)? In their August 2014 paper entitled “Price Dynamics of Gold Futures and Gold Leveraged ETFs”, Tim Leung and Brian Ward compare the...
Is a position in gold consistently effective in protecting a portfolio of conventional assets? In the August 2014 preliminary version of their paper entitled “Does Gold Glitter in the Long-Run? Gold as a Hedge and...
Does the stock momentum anomaly interact with the quarterly financial cycle? In his August 2014 paper entitled “Seasonal Patterns in Momentum and Reversal in the U.S. Stock Market: The Consequences of Tax-Loss Sales and Window Dressing”, David...
Is the capitalization-weighted market portfolio a lame benchmark? In his August 2014 paper entitled “It’s Easy to Beat the Market”, Moshe Levy tests the perception that it is hard to beat a capitalization-weighted portfolio and therefore that an index...
What is the best estimate of the Equity Risk Premium (ERP), the return in excess of the risk-free rate required as compensation for the risk of holding equity? In his August 2014 paper entitled “A...
Do financial markets adapt to widespread use of an indicator, such as Bollinger Bands, thereby extinguishing its informativeness? In the August 2014 version of their paper entitled “Popularity versus Profitability: Evidence from Bollinger Bands”, Jiali Fang, Ben Jacobsen and Yafeng...
How much performance improvement comes from rebalancing a stocks-bonds portfolio, and what specific rebalancing approach works best? In their August 2014 paper entitled “Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations”, Hubert Dichtl,...
Does focus on nearest-expiration contracts in commodity futures momentum strategies leave money on the table? In their May 2014 paper entitled “Exploiting Commodity Momentum Along the Futures Curves”, Wilma De Groot, Dennis Karstanje and Weili Zhou...
Should investors view financial experts as individuals who, through years of study and experience, overcome behavioral biases and reliably add value to investment decisions? In his May 2014 essay entitled “Are You Trying Too Hard?”, Wesley Gray summarizes research that...
Behavioral finance encompasses research on how investors fall short of a rational ideal in decision-making, and how markets are thereby somewhat inefficient. In his August 2014 paper entitled “Behavioral Finance”, David Hirshleifer examines sources of investor biases and provides an...
Can individual investors reliably extract excess returns from long-only stock momentum? In their April 2014 paper entitled “Profitable Momentum Trading Strategies for Individual Investors”, Bryan Foltice and Thomas Langer examine whether a long-only stock momentum portfolio holding the top one...
As a follow-up to “Mutual Fund Hot Hand Performance Robustness Test”, a subscriber suggested testing a portfolio that each year holds the top two Fidelity diversified equity funds plus the top two Vanguard diversified equity...