“What Works Best?” Update
December 29, 2011 - Miscellaneous
An update to the “What Works Best?” page makes the discussion more expansive (to address strategic asset allocation), shifts emphasis and adds references.
December 29, 2011 - Miscellaneous
An update to the “What Works Best?” page makes the discussion more expansive (to address strategic asset allocation), shifts emphasis and adds references.
December 29, 2011 - Commodity Futures
How many commodity sectors are relevant for portfolio diversification planning, and how do their behaviors differ? In their December 2011 paper entitled “How Many Commodity Sectors Are There, and How Do They Behave?”, Geetesh Bhardwaj and Adam Dunsby examine the statistical properties of commodity futures prices to discover natural sectors and investigate how returns for these… Keep Reading
December 28, 2011 - Investing Expertise
Do stock analysts elected to All-American (AA) status by institutional voters (via Institutional Investor magazine) reliably out-pick other analysts? In the December 2011 update of their paper entitled “Are Stars’ Opinions Worth More? The Relation Between Analyst Reputation and Recommendation Values”, Lily Fang and Ayako Yasuda examine the average performance of stock recommendations of AA… Keep Reading
December 27, 2011 - Investing Expertise, Strategic Allocation
Is strategic asset class allocation or active management paramount for U.S. university endowment investment performance? In the October 2011 draft of their paper entitled “Do (Some) University Endowments Earn Alpha?”, Brad Barber and Guojun Wang explore the investment performance of U.S. university endowments with regard to overall alpha, performance persistence and sources of superior performance. They… Keep Reading
December 23, 2011 - Miscellaneous
An updated Investing Demons now includes relevant research summary statements from the past year. This section provides a broad perspective on the content of CXOadvisory.com.
December 23, 2011 - Fundamental Valuation
Which widely used valuation metric is best for picking individual stocks? In their November 2011 paper entitled “Analyzing Valuation Measures: A Performance Horse-Race over the past 40 Years”, Wesley Gray and Jack Vogel compare the performances of five annually reformed portfolios sorted on different valuation ratios: earnings-to-market capitalization (E/M); earnings before interest, taxes, depreciation and amortization-to-total enterprise… Keep Reading
December 22, 2011 - Momentum Investing, Volatility Effects
A subscriber suggested applying simple momentum trading strategies to a set of leveraged equity style (size, value-growth) funds. It seems plausible that leverage may make funds react quickly and strongly to business cycle shifts that affect style performance. However, the costs of maintaining leverage are countervailing. Historical data for leveraged style funds is very limited, so we… Keep Reading
December 21, 2011 - Bonds, Equity Premium, Strategic Allocation, Volatility Effects
Should investors believe in the superiority of stocks for the long run and bonds for the short run? In his December 2011 paper entitled “Stocks, Bonds, Risk, and the Holding Period: An International Perspective”, Javier Estrada examines how the absolute and relative risks of stocks and bonds evolve as investment horizon grows (time diversification). Considering… Keep Reading
December 20, 2011 - Fundamental Valuation, Investing Expertise
Do analysts who work for hedge funds make good calls? In their November 2011 paper entitled “Do Buy-side Recommendations Have Investment Value?”, Steven Crawford, Wesley Gray, Bryan Johnson and Richard Price III profile analysts employed by mutual funds, hedge funds and other investment firms and examine whether these experts make good trading recommendations. Using personal data and… Keep Reading
December 9, 2011 - Volatility Effects
Is risk avoidance by itself a good tactical asset allocation strategy? In their November 2011 paper entitled “A Risk Based Approach to Tactical Asset Allocation”, Dario Brandolini and Stefano Colucci propose a purely risk-based asset allocation framework designed to buffer effects of volatility clusters. Their critical allocation variable is expected shortfall, estimated each week to adjust the… Keep Reading