Investing Research Articles

How can investors protect portfolios from crashes across asset classes? In the November 2014 version of his paper entitled “Tail Risk Protection in Asset Management”, Cristian Homescu describes tail (crash) risk metrics and summarizes the body of recent research on the effectiveness and costs of alternative tail risk protection strategies. The purpose of these strategies is to… Keep Reading

Is equity factor investing a straightforward path to premium capture and diversification? In their October 2014 paper entitled “Facts and Fantasies About Factor Investing”, Zelia Cazalet and Thierry Roncalli summarize the body of research on factor investing and provide examples to address the following questions: What is a risk factor? Do all risk factors offer attractive premiums? How stable and robust are these… Keep Reading

Is Piotroski’s FSCORE really as effective at picking stocks as indicated in the original study, which screens stocks with high book-to-market ratios to isolate those that will eventually provide high returns? In their April 2014 paper entitled “Implementability of Trading Strategies Based on Accounting Information: Piotroski (2000) Revisited”, Sohyung Kim and Cheol Lee re-examine the FSCORE testing methodology. Their broader… Keep Reading

Do predictive powers of the size, value and momentum factors observed for individual stocks translate to the country level? In the November 2014 version of his paper entitled “Country Selection Strategies Based on Value, Size and Momentum”, Adam Zaremba investigates country-level value, size and momentum premiums, and tests whether the value and momentum premiums are equally strong across markets… Keep Reading

Are publicly traded Master Limited Partnerships attractive investments? In their June 2014 paper entitled “Master Limited Partnerships (MLPs)”, Frank Benham, Steven Hartt, Chris Tehranian and Edmund Walsh describe and summarize the aggregate performance and characteristics of publicly traded MLPs. These partnerships are predominantly owners of “toll road” energy infrastructure, U.S. oil and natural gas pipelines… Keep Reading

Does quantitative technical analysis work reliably in currency trading? If so, where does it work best? In their May 2013 paper entitled “Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market”, Po-Hsuan Hsu and Mark Taylor test the effectiveness of a broad set… Keep Reading

In which country stock markets is technical analysis likely to work best? In the October 2014 version of her paper entitled “Technical Analysis: A Cross-Country Analysis”, Jiali Fang investigates three potential cross-country determinants of technical trading profitability: An individualism index, measuring the degree to which individuals integrate via cultural groups. Market development and integrity metrics, including stock market size, stock market… Keep Reading

Do factor models predict returns for corporate bonds as they do for stocks? In their October 2014 paper entitled “Factor Investing in the Corporate Bond Market”, Patrick Houweling and Jeroen van Zundert develop and test a four-factor (size, low-risk, value and momentum) model of future corporate bond returns. Each month for investment grade and high yield bond market segments… Keep Reading

Is the Commodity Trading Advisor (CTA) segment so crowded that flows of funds into or out of them around the turn of the month materially affect prices? In the October 2014 version of his paper entitled “The MOM-TOM Effect: Detecting the Market Impact of CTA Trading”, Otto Van Hemert explores whether the trend-following or time series… Keep Reading

Is there a way to predict when stock price momentum strategies will thrive or crash? In the October 2014 update of their draft paper entitled “Time-Varying Momentum Payoffs and Illiquidity”, Doron Avramov, Si Cheng and Allaudeen Hameed investigate the relationship between future momentum strategy profitability and market illiquidity. They measure momentum conventionally as the average gross monthly return… Keep Reading