Investing Research Articles

What are optimal allocations during retirement years for a portfolio of stocks and bonds, without and with a trend following overlay? In their March 2019 paper entitled “Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios from 1925”, Andrew Clare, James Seaton, Peter Smith and Steve Thomas compare outcomes across two sets… Keep Reading

Given the uniqueness of fine art objects and uncertainties in demand (at auctions), can investors in paintings get accurate estimates of market values of holdings and potential acquisitions? In their March 2019 paper entitled “Machines and Masterpieces: Predicting Prices in the Art Auction Market”, Mathieu Aubry, Roman Kräussl, Gustavo Manso and Christophe Spaenjers compares accuracies… Keep Reading

How can investors confidently assess risk of strategy crashes (tail events) when there are so few crashes even in long samples? In their March 2019 paper entitled “Time-Series Momentum: A Monte-Carlo Approach”, Clemens Struck and Enoch Cheng present a Monte-Carlo simulation procedure for strategy backtesting that both preserves time series and cross-sectional return characteristics while… Keep Reading

Do exposures to long-short factor (alternative risk) premiums (ARP) protect portfolios from stock and bond market crashes? In their February 2019 paper entitled “A Framework for Risk Premia Investing: Anywhere to Hide?”, Kari Vatanen and Antti Suhonen examine weekly correlations of 28 ARP composite returns with those of stocks (MSCI World Equity Market Index), bonds… Keep Reading

Below is a weekly summary of our research findings for 4/8/19 through 4/12/19. 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.

What are common cautions regarding exploitation of academic and practitioner papers on financial markets? To investigate, we collect, collate and summarize our cautions on findings from papers reviewed over the past year. These papers are survivors of screening for relevance to investors of a much larger number of papers, mostly from the Financial Economics Network… Keep Reading

Should investors trust academic equity factor research? In their February 2019 paper entitled “A Census of the Factor Zoo”, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top academic journals and working papers through January 2019, including a link to citation and download information. They distinguish among six… Keep Reading

Below is a weekly summary of our research findings for 4/1/19 through 4/5/19. 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.

Do assets other than individual stocks exhibit a short-term (1-month) reversal effect? In their February 2019 paper entitled “Short-Term Momentum (Almost) Everywhere”, Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long investigate short-term return predictability within long run global samples spanning five asset classes: equity indexes, government bonds, treasury bills, commodity futures and currencies. Each month they… Keep Reading

Do retail investors rationally account for risks as modeled in academic research when choosing actively managed equity mutual funds? In their March 2019 paper entitled “What Do Mutual Fund Investors Really Care About?”, Itzhak Ben-David, Jiacui Li, Andrea Rossi and Yang Song investigate whether simple, well-known signals explain active mutual fund investor behavior better than… Keep Reading