Investing Research Articles

Does crowding of factor investing strategies reliably predict returns for those strategies? In his March 2019 paper entitled “The Impact of Crowding in Alternative Risk Premia Investing”, Nick Baltas explores mechanics of alternative risk (factor) premium crowding and implications of crowding for future performance. He classifies factor premiums as: divergent (such as momentum), inherently destabilizing… Keep Reading

Below is a weekly summary of our research findings for 5/6/19 through 5/10/19. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Who do investors trust more, expert advisors or algorithms? In her March 2019 paper entitled “Algorithmic Decision-Making: The Death of Second Opinions?”, Nizan Packin employs a survey conducted on Amazon Mechanical Turk to assess automation bias when making significant investment decisions. Each of four groups of respondents received one of the following four questions (response… Keep Reading

Below is a weekly summary of our research findings for 4/29/19 through 5/3/19. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Which fund family is better, Vanguard or Fidelity? In their April 2019 paper entitled “Vanguard versus Fidelity: Multidimensional Comparison of the Index Funds and ETFs of the Two Largest Mutual Fund Families”, Chong Li, Edward Tower and Rhona Zhang compare 21 matched Vanguard and Fidelity fund pairs in five ways: (1) before-tax and after-tax performance,… Keep Reading

Can a deep dive into company accounting data reliably predict stocks that will underperform? In their February 2019 paper entitled “Earnings Quality on the Street”, Urooj Khan, Venkat Peddireddy and Shivaram Rajgopal examine proprietary reports from a research firm that screens publicly available accounting data for over 9,000 North American and 5,500 other global companies… Keep Reading

Do returns for equity factors (long stocks with high expected returns and short stocks with low expected returns based on some firm/stock trading characteristic) broadly and reliably exhibit momentum? In other words, do factors with strong (weak) returns in recent months have strong (weak) returns next month? In the February 2019 revision of their paper… Keep Reading

Below is a weekly summary of our research findings for 4/22/19 through 4/26/19. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

How well do trailing stop-loss rules work for U.S. stocks? In their March 2019 paper entitled “Risk Reduction Using Trailing Stop-Loss Rules”, Bochuan Dai, Ben Marshall, Nick Nguyen and Nuttawat Visaltanachoti evaluate effectiveness of trailing stop-loss rules. Traditional stop-loss rules are price-based or time-based. Trailing stop rules sell (buy back) a stock when it declines… Keep Reading

How should investors manage their portfolios to withstand market crashes. In his March 2019 paper entitled “Managing the Downside of Active and Passive Strategies: Convexity and Fragilities”, Raphael Douady discusses how to construct an “antifragile” portfolio given that most equity market risk is not readily observable. He describes ways to monitor the probability of a… Keep Reading