Investing Research Articles

Does hedge fund outperformance derive from systematically superior timing or from superior asset selection? In the December 2010 version of her paper entitled “Can Factor Timing Explain Hedge Fund Alpha?”, Hyuna Park decomposes alpha generated by hedge funds into security selection and timing with respect to eight risk factors (including U.S. and emerging equity risk… Keep Reading

What variables are persistently effective in picking equity sectors for tactical (monthly) trading? In their July 2010 paper entitled “Global Tactical Sector Allocation: A Quantitative Approach”, Ronald Doeswijk and Pim van Vliet investigate the effectiveness of seven variables for tactical trading of ten global equity sector indexes. They test effectiveness of these variables separately and… Keep Reading

…evidence from simple tests on a small sample offers weak support for a belief that large (small) capitalization stocks fare better when the Federal Funds Rate target is increasing (decreasing).

Media commentators and expert advisors sometimes cite cuts and hikes in the Federal Funds Rate (FFR) as an indicator of U.S. stock market prospects, with decreases (increases) in FFR acting as a stimulant (depressant). Does the overall U.S. stock market respond systematically to loosening and tightening of credit as measured by cuts and hikes in… Keep Reading

Are Real Estate Investment Trusts (REIT) as an asset class a good diversifier for the stock market? To check, we focus on monthly correlation of returns as a measure of diversification capacity for Vanguard REIT Index Fund Investor Shares (VGSIX), a mutual fund with a reasonably long track record “designed to track the performance of… Keep Reading

Is it feasible to isolate and exploit the value of entrepreneurial spirit among publicly traded stocks? In his Fall 2009 article entitled “Investing in Troubled Times: Entrepreneurs are Your Safest Bet”, Joel Shulman defines, filters and analyzes the performance of entrepreneurial stocks. Building on prior research, he defines “entrepreneurial” based on the following 15 attributes,… Keep Reading

Are there technical trading rules that persist in profitability, or does the market adapt to extinguish them? In their January 2011 paper entitled “Technical Analysis in the Foreign Exchange Market”, Christopher Neely and Paul Weller review research on technical trading returns in the foreign exchange market during the era of floating exchange rates. They focus… Keep Reading

A reader suggested that we review the stock market commentary of Abby Joseph Cohen, partner and chief U.S. investment strategist at Goldman Sachs. Her public record, available most robustly via MarketWatch and Bloomberg.com, focuses on her year-end forward forecasts for the levels of major stock market indexes, such as the S&P 500 Index. She seems… Keep Reading

If you believe inflation is coming, should you shift assets toward commodities-oriented assets? In their November 2010 paper entitled “Are Commodities a Good Hedge Against Inflation? A Comparative Approach”, Laura Spierdijk and Zaghum Umar compare five measures of inflation hedging capacity as applied to commodities for investment horizons ranging from one month to ten years…. Keep Reading

Do stocks trading on Over-the-Counter (OTC) markets, generally off limits for institutional traders, present in aggregate a good opportunity for individual investors? In their December 2010 paper entitled “Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks”, Bjørn Eraker and Mark Ready examine returns on U.S. OTC Bulletin… Keep Reading