Below is a weekly summary of our research findings for 4/1/19 through 4/5/19. 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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- Stocks Plus Trend Following Managed Futures?
Evidence indicates that an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures (as proxied by trend following hedge funds) is reasonably attractive over the full sample period, but has recently been weak. - Academia Creating Anomalies?
Evidence suggests that academic research on CAPM has created an attractive betting against alpha anomaly and perturbed anomalies correlated with the overall market. - Alternative Beta Live
Evidence indicates that live net performance of alternative beta strategies (especially equity-only) during 2008-2017 is not very attractive. - Mutual Fund Investors Irrationally Naive?
Evidence supports belief that retail mutual fund investors naively use Morningstar ratings and chase past returns to pick actively managed equity mutual funds. - Asset Class Short-term Momentum Over the Long Run
Evidence from long series indicates that class-level assets mostly exhibit short-term (1-month) return momentum and not short-term reversal.
