Below is a weekly summary of our research findings for 5/13/19 through 5/17/19. 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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- Effects of Factor Crowding
Evidence suggests that strategy crowding is bad for momentum-like strategies and good for value-like strategies. - Does Volatility Management Work for Equity Factor Portfolios?
Evidence suggests investors should be skeptical about practical value of volatility-managed equity hedge portfolios as claimed in prior studies. - Stock Return Autocorrelations and Option Returns
Evidence suggests that investors may be able to exploit the power of stock return autocorrelation to predict performance of associated call and put options. - The Bond King’s Alpha
Evidence suggests that Bill Gross generates alpha over his tenure as manager of PIMCO Total Return Fund, but statistical significance of this finding is sensitive to factor model design. Accounting for factor model costs would strengthen confidence in the finding. - Financial Experts Ignoring Better Statistical Methods?
Academics and investment professionals continue to use research methods ill-suited to the complexity of economies and markets, largely ignoring the superiority of new machine learning methods in these environments.
