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3598 Research Articles

Simple Sector ETF Momentum Strategy

Do simple momentum trading strategies applied to major U.S. stock market sectors outperform reasonable benchmarks? To investigate, we apply three simple momentum strategies to the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select Sector SPDR (XLE) Financial Select Sector SPDR… Keep Reading

Equity Index Collar Performance

Is selling market index call options to finance, at least partly, buying crash protection in the form of put options a shrewd tactic? In their December 2016 paper entitled “Risk and Return of Equity Index Collars”, Roni Israelov and Matthew Klein investigate the performance of such equity index collars by decomposing their returns into equity risk premium and volatility… Keep Reading

Enhancement of Index Covered Calls via Hedging

What are the moving parts of an equity index covered call strategy, and what can investors do to enhance its performance? In the October 2015 update of their paper entitled “Covered Calls Uncovered”, Roni Israelov and Lars Nielsen decompose equity index covered call strategy returns into three risk premiums: (1) long equity; (2) short equity volatility; and, (3) long… Keep Reading

Magnitude and Evolution of ETF Trading Frictions

Are exchange-traded funds (ETF) efficient from a trading frictions perspective? In the October 2015 version of their paper entitled “ETF Liquidity”, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti examine magnitude of trading frictions, best liquidity metric, time-variation in liquidity time and liquidity-return relationship across a large number of ETFs. Their universe consists of 870 ETFs: 571 equity (411 U.S. and 160 international),… Keep Reading

Following the Leaders On SeekingAlpha and StockTwits

Do SeekingAlpha and StockTwits offer valuable stock-picking information? In their March 2015 paper entitled “Crowds on Wall Street: Extracting Value from Collaborative Investing Platforms”, Gang Wang, Tianyi Wang, Bolun Wang, Divya Sambasivan, Zengbin Zhang, Haitao Zheng and Ben Zhao evaluate the stock-picking expertise available via SeekingAlpha and StockTwits. They tailor stock sentiment measures for these sources and relate these measures to… Keep Reading

Profitability Metric Horse Race for Stocks and Sectors

Which measure of past firm profitability is most effective for forming U.S. stock and equity sector portfolios? In their October 2015 paper entitled “Portfolio Allocations Using Fundamental Ratios: Are Profitability Measures Effective in Selecting Firms and Sectors?”, John Hughen and Jack Strauss examine portfolio strategies based on four sector and firm profitability measures: gross profit, operating profit, EBITDA and an… Keep Reading

Performance of Actual Quant Strategies

How does performance of short-term technical strategies related to portfolio turnover and volatility? In their December 2015 paper entitled “101 Formulaic Alphas”, Zura Kakushadze, Geoffrey Lauprete and Igor Tulchinsky explore return relationships among 101 real-life short-term quantitative trading strategies, noting that 80 are still in use as of the publication date. They follow common trader lingo in calling expected return… Keep Reading

Overview of Commodity Futures Investment Strategies

What kinds of commodity futures portfolio allocation strategies work? In her December 2015 paper entitled “Long-Short Commodity Investing: A Review of the Literature”, Joelle Miffre summarizes recent academic studies that analyze the performance of long-short commodity futures strategies. She focuses on strategies exploiting roll yields, inventory levels, hedging pressure or momentum. She also surveys alternative… Keep Reading

Combining SMA Crash Protection and Momentum in Asset Allocation

Does asset allocation based on both trend following via a simple moving average (SMA) and return momentum work well? In the July 2015 update of their paper entitled “The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation”, Andrew Clare, James Seaton, Peter Smith and Stephen Thomas examine the effectiveness of… Keep Reading

Trend Factor and Future Stock Returns

Does the information in short, intermediate and long stock price trends combined by relating multiple simple moving averages (SMA) to future returns usefully predict stock returns? In the September 2015 update of their paper entitled “A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?”, Yufeng Han and Guofu Zhou examine a trend factor that simultaneously captures short, intermediate… Keep Reading