Do asset classes generally exhibit enough price momentum to make stop-loss and re-entry rules effective for timing them? In his June 2013 paper entitled “Assessing Stop-loss and Re-entry Strategies”, Joachim Klement analyzes four stop-loss and re-entry...
In the introduction to his 2013 book entitled The Alternative Answer: The Nontraditional Investments That Drive the World’s Best-Performing Portfolios, author Bob Rice (Alternative Investment Editor at Bloomberg Television) states that his: “…basic approach is an adaptation...
Is the value premium consistent across equity markets worldwide? In their May 2013 paper entitled “Value around the World”, Nilufer Caliskan and Thorsten Hensyz measure returns for stock portfolios sorted on value in 41 countries...
Are there worldwide anomalies with regard to equity market returns by calendar month? In his June 2013 paper entitled “Stock Market Performance: High and Low Months”, Vichet Sum examines stock market performance in 70 countries...
Is faster-than-exponential asset price growth (acceleration of price increase) inherently unsustainable and therefore predictive of an eventual crash? In his June 2013 paper entitled, “Stock Crashes Led by Accelerated Price Growth”, James Xiong applies both regressions...
In the prologue of their 2013 book entitled Happy Money: The Science of Smarter Spending, authors Elizabeth Dunn and Michael Norton state: “When it comes to increasing the amount of money they have, most people recognize that...
Does the market pay a premium to equity funds with relatively high “bad” (left tail) volatility? In their May 2013 paper entitled “Volatility vs. Tail Risk: Which One is Compensated in Equity Funds?”, James Xiong,...
The Federal Reserve states that open market operations regulate “the aggregate level of balances available in the banking system,” thereby keeping the effective Federal Funds Rate close to a target level. The operations are predominantly...
A reader hypothesized that the Federal Reserve uses Open Market Operations repurchases to stimulate, or prop up, the stock market. The hypothesis supposes that private parties, such as prime brokers, use the funds released by...
Why does the widely cited and intuitive Capital Asset Pricing Model (CAPM) prediction that extra risk (beta) earns extra reward (rate of return) not work for stocks? In their May 2013 paper entitled “Explanations for the...
Has crude oil turned into paper from an investment perspective? In their May 2013 paper entitled “Oil Prices, Exchange Rates and Asset Prices”, Marcel Fratzscher, Daniel Schneider and Ine Van Robays examine relationships between crude...
Do currency exchange rates exhibit short-term momentum? In the April 2013 version of their paper entitled “Is There Momentum or Reversal in Weekly Currency Returns?”, Ahmad Raza, Ben Marshall and Nuttawat Visaltanachoti investigate whether exchange...
Do investors demand a risk premium for divided government because of the policy uncertainty of gridlock? In the April 2013 preliminary draft of their paper entitled “Divided Governments and Asset Prices”, Elvira Sojli and Wing Wah...
Can commodities still be useful for portfolio diversification, despite their recent poor aggregate return, high volatility and elevated return correlations with other asset classes? In the May 2013 version of their paper entitled “Strategic Allocation...
Does adding a proxy for private equity to a diversified portfolio improve its performance? To check, we add PowerShares Global Listed Private Equity (PSP) to the following mix of asset class proxies (the same used in “Simple...
A subscriber suggested testing the diversification power of SPDR Barclays International Real Estate (RWX) as a distinct asset class. To check, we add RWX to the following mix of asset class proxies (the same used in “Simple Asset...
Does adding a proxy for the currency carry trade among developed economies (long futures on three currencies with the highest interest rates and short futures on three currencies with the lowest interest rates) to a...
A subscriber suggested testing the diversification power of SPDR Barclays International Treasury Bonds (BWX) as a distinct asset class. To check, we add BWX to the following mix of asset class proxies (the same used in “Simple Asset...
It is plausible that high-yield corporate bonds have return characteristics substantially different from those of other asset classes, and therefore represent a good diversification opprotunity. To check, we add iShares iBoxx $ High-Yield Corporate Bond (HYG) to...
Treasury Inflation-Protected Securities (TIPS), offering an explicit inflation hedge, may be an attractive asset for strategic diversification. To check, we add iShares Barclays TIPS Bond Fund (TIP) to the following mix of asset class proxies (the same...
It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represent a good diversification opprotunity. To check, we add...
A subscriber suggested testing the diversification power of exchange-traded aggregations of U.S. pipeline Master Limited Partnerships, such as JPMorgan Alerian MLP Index ETN (AMJ), as a distinct asset class. To check, we add AMJ to the following...
It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represents a good diversification opportunity. To check, we add...
A subscriber suggested testing the diversification power of iPath DJ-UBS Copper ETN (JJC) as a distinct asset class. To check, we add JJC to the following mix of asset class proxies (the same used in “Simple Asset Class...
Does adding a proxy for the least developed (frontier) equity markets to a diversified portfolio improve its performance? To check, we add Guggenheim Frontier Markets ETF (FRN) to the following mix of asset class proxies (the same...