Below is a weekly summary of our research findings for 4/15/19 through 4/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.
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- Risk Premium Allocation Tail Diversification
Investors seeking to exploit the potential of alternative long-short risk premiums to diversify returns for stocks and bonds should consider both full-sample and tail diversification. - Sophisticated Simulation of Intrinsic (Time Series) Momentum
Sophisticated simulation offers little support for belief that intrinsic (time series) momentum strategies are attractive out-of-sample for either S&P 500 Index futures or equally weighted multi-class portfolios of futures. - Neural Network Software Valuation of Fine Art
Evidence indicates that neural network software is much superior to linear factor modeling and nearly as good as expert auctioneers in valuing fine paintings. - Optimal Retirement Glidepath with Trend Following
Available evidence suggests that: (1) diversifying assets over time via trend following is potentially more important for retirement income than diversifying across asset classes; and, (2) glidepath investing is material only for investment horizons of a few years.
