Andrew Abraham, founder of Abraham Investment Management, prefaces his 2013 book, The Bible of Compounding Money: The Complete Guide to Investing with World Class Money Managers, by stating: “I wrote this book because I wanted to separate...
Current price versus 10-month simple moving average (SMA) is a widely used indicator of asset and asset class trend, with current price above/below its 10-month SMA viewed as bullish/bearish. How has this indicator performed for...
Is downside risk the critical driver of investor asset valuation? In the January 2013 version of their paper entitled “Conditional Risk Premia in Currency Markets and Other Asset Classes”, Martin Lettau, Matteo Maggiori and Michael...
Do time series carry (intrinsic value) and time series momentum (intrinsic momentum) strategies work across asset classes? What drives their returns, and how do they interact? In the January 2013 very preliminary version of their paper entitled...
Wesley Gray (founder and executive managing member of Empiritrage LLC and Turnkey Analyst LLC) and Tobias Carlisle (founder and managing member of Eyquem Investment Management LLC) describe their 2013 book, Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors, as...
Do industries exhibit the market beta, value and momentum anomalies overall and in recent data? In his August 2012 paper entitled “The Failure of the Capital Asset Pricing Model (CAPM): An Update and Discussion”, Graham...
Does use of alphas from linear factor models to identify anomalies in U.S. stock returns mislead investors? In the February 2013 draft of their paper entitled “Using Maximum Drawdowns to Capture Tail Risk”, Wesley Gray...
Do time-series (intrinsic) momentum rules for timing stocks beat comparable simple moving average (SMA) rules? In the February 2013 version of their paper entitled “Time-Series Momentum Versus Moving Average Trading Rules”, Ben Marshall, Nhut Nguyen...
Are target‐date (glidepath) funds that periodically decrease (increase) allocation to stocks (bonds and cash) as the investor ages competitive with alternative strategies? In his February 2013 paper entitled “The Glidepath Illusion: An International Perspective”, Javier...
...Carly Garner's A Trader's First Book on Commodities is a well-calibrated introduction (as advertised) to trading commodity futures and options, but readers will have to dig deeper for robust investigations of trading strategies.
Do low-beta equity strategies work differently for industries and countries compared to individual stocks? In their January 2013 paper entitled “The Low Risk Anomaly: A Decomposition into Micro and Macro Effects”, Malcolm Baker, Brendan Bradley and...
The conventional wisdom is that a high (low) ratio of equity put option volume to equity call option volume is bullish (bearish) because it indicates that investors are overly pessimistic (optimistic). Alternative measurements of the...
Do returns for country stock markets vary systematically with the return volatilities of those markets? In their December 2012 paper entitled “Are Investors Compensated for Bearing Market Volatility in a Country?”, Samuel Liang and John...
Has the market evolved to extinguish exploitability of reactions to corporate stock buyback and secondary offering activities? In their December 2012 draft paper entitled “The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases...
Do trading rules based on price relative to intermediate-term and long-term simple moving averages (SMA) outperform a buy-and-hold approach for all kinds of stocks and stock portfolios? In the January 2013 update of his paper...
In the current environment of low bond yields, what is a safe investment withdrawal rate during retirement? In their January 2013 paper entitled “The 4% Rule is Not Safe in a Low-Yield World”, Michael Finke,...
Are there exploitable long-term cycles in U.S. stock market returns? In the January 2013 update of his paper entitled “Secular Mean Reversion and Long-Run Predictability of the Stock Market”, Valeriy Zakamulin explores mean reversion of...
How does volatility interact with market beta? In his 2012 paper entitled “Volatility and Compounding Effects on Beta and Returns”, William Trainor investigates the performance of stocks sorted on market beta overall and during intervals of...
...Carly Garner's A Trader's First Book on Commodities is a well-calibrated introduction (as advertised) to trading commodity futures and options, but readers will have to dig deeper for robust investigations of trading strategies.
How should investors choose among alternative tactical asset allocation strategies? In their January 2013 paper entitled “Rethinking the Asset Allocation Approach for Plan Sponsors”, Pranay Gupta and Sven Skallsjo present a multi-strategy tactical asset allocation...
What research is available on investment approaches, allocations and results for U.S. university endowments? In their January 2013 paper entitled “A Survey of University Endowment Management Research”, Georg Cejnek, Richard Franz, Otto Randl and Neal...
Which risk-based asset allocation method is best? In their January 2013 preliminary paper entitled “Generalized Risk-Based Investing”, Emmanuel Jurczenko, Thierry Michel and Jerome Teletche present a general framework for risk-based asset allocation depending on two...
How should investors measure the value of tactical deviations from a strategic asset class allocation? In their December 2012 draft paper entitled “A Framework for Examining Asset Allocation Alpha”, Jason Hsu and Omid Shakernia decompose...
How does aggregate stock news sentiment relate to equity market return and volatility? In his October 2012 paper entitled “Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns”, Lee Smales investigates relationships among aggregate unscheduled...
Does market underestimation of stock price uncertainty around earnings announcements support a short-term straddle strategy (call option and put option with matched strike and expiration, profitable with large stock price moves)? In their January 2013 paper...