October 18, 2019 - Miscellaneous
Below is a weekly summary of our research findings for 10/14/19 through 10/18/19. 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.
October 16, 2019 - Big Ideas, Investing Expertise
Is there a way that asset managers can share knowledge/data across proprietary boundaries with many researchers to advance development of investment strategies? In their September 2019 paper entitled “Crowdsourced Investment Research through Tournaments”, Marcos Lopez de Prado and Frank Fabozzi describe highly structured tournaments as a crowdsourcing paradigm for investment research. In each such tournament,… Keep Reading
October 14, 2019 - Big Ideas
The following list links to summaries of recent (since 2010) investment research using long data samples. These summaries may be helpful in developing strategic allocations and tactical wariness for long-horizon investments. “Commodity Futures Risk Premium Over the Long Run” – estimates the historical risk premium of dead and live commodity futures contract series as available… Keep Reading
October 11, 2019 - Miscellaneous
Below is a weekly summary of our research findings for 10/7/19 through 10/11/19. 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.
October 11, 2019 - Commodity Futures
What are long run returns for commodity futures? In their September 2019 paper entitled “The Commodity Futures Risk Premium: 1871-2018”, Geetesh Bhardwaj, Rajkumar Janardanan and Geert Rouwenhorst estimate the historical risk premium of commodity futures from a long and broad sample free of survivorship bias covering 230 contract series traded since 1871 mostly in the… Keep Reading
October 10, 2019 - Bonds, Equity Premium
Do bonds have a bad rap based on an unfavorable subsample? In the September 2019 revisions of his papers entitled “The US Bond Market Before 1926: Investor Total Return from 1793, Comparing Federal, Municipal, and Corporate Bonds Part I: 1793 to 1857” and “Part II: 1857 to 1926”, Edward McQuarrie revisits analysis of returns to… Keep Reading
October 9, 2019 - Big Ideas, Fundamental Valuation, Volatility Effects
How does a shift in emphasis from active to passive investing affect the financial market risk landscape? In their September 2019 paper entitled “The Shift From Active to Passive Investing: Potential Risks to Financial Stability?”, Kenechukwu Anadu, Mathias Kruttli, Patrick McCabe, Emilio Osambela and Chaehee Shin analyze how a shift from active to passive investing… Keep Reading
October 7, 2019 - Big Ideas
Where can investors find a large catalog of trading strategies spanning asset classes? In the September 2019 update of their paper entitled “151 Trading Strategies”, Zura Kakushadze and Juan Andres Serur make freely available their book describing over 150 trading strategies, including over 550 formulas. These strategies encompass many asset classes and trading styles, including:… Keep Reading
October 4, 2019 - Miscellaneous
Below is a weekly summary of our research findings for 9/30/19 through 10/4/19. 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.
September 30, 2019 - Momentum Investing, Volatility Effects
What is the best way to avoid stock momentum portfolio crashes? In her July 2019 paper entitled “Momentum with Volatility Timing”, Yulia Malitskaia tests a long-only volatility-timed stock momentum strategy that exits holdings when strategy volatility over a past interval exceeds a specified threshold. She focuses on a recent U.S. sample that includes the 2008-2009… Keep Reading