Investing Research Articles

Why are expert economic and financial (econometric) forecasters so inaccurate? In his April 2019 presentation package for a graduate course at Cornell entitled “The 7 Reasons Most Econometric Investments Fail”, Marcos Lopez de Prado enumerates shortcomings of standard econometric statistical methods, which concentrate on multivariate linear regressions. In contrast, advanced computational methods that exploit machine… Keep Reading

Did Bill Gross, the Bond King, generate significantly positive alpha during his May 1987 through September 2014 tenure as manager of PIMCO Total Return Fund (Fund)? In their March 2019 paper entitled “Bill Gross’ Alpha: The King Versus the Oracle”, Richard Dewey and Aaron Brown investigate whether Bill Gross generates excess average return after adjusting… Keep Reading

Does return persistence of individual stocks predict associated option returns? In their March 2019 paper entitled “Stock Return Autocorrelations and the Cross Section of Option Returns”, Yoontae Jeon, Raymond Kan and Gang Li investigate relationships between equity option returns and return autocorrelations of underlying stocks. They consider call options, put options and straddles (long both… Keep Reading

Do equity strategy portfolios characterized by aggressive (conservative) scaling when portfolio volatility is recently low (high) reliably beat unmanaged performance? In their March 2019 paper entitled “On the Performance of Volatility-Managed Portfolios”, Scott Cederburg, Michael O’Doherty, Feifei Wang and Xuemin Yan assess whether practical volatility management is systematically attractive. For each of 103 anomalies (nine… Keep Reading

Does crowding of factor investing strategies reliably predict returns for those strategies? In his March 2019 paper entitled “The Impact of Crowding in Alternative Risk Premia Investing”, Nick Baltas explores mechanics of alternative risk (factor) premium crowding and implications of crowding for future performance. He classifies factor premiums as: divergent (such as momentum), inherently destabilizing… Keep Reading

Below is a weekly summary of our research findings for 5/6/19 through 5/10/19. 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.

Who do investors trust more, expert advisors or algorithms? In her March 2019 paper entitled “Algorithmic Decision-Making: The Death of Second Opinions?”, Nizan Packin employs a survey conducted on Amazon Mechanical Turk to assess automation bias when making significant investment decisions. Each of four groups of respondents received one of the following four questions (response… Keep Reading

Below is a weekly summary of our research findings for 4/29/19 through 5/3/19. 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.

Which fund family is better, Vanguard or Fidelity? In their April 2019 paper entitled “Vanguard versus Fidelity: Multidimensional Comparison of the Index Funds and ETFs of the Two Largest Mutual Fund Families”, Chong Li, Edward Tower and Rhona Zhang compare 21 matched Vanguard and Fidelity fund pairs in five ways: (1) before-tax and after-tax performance,… Keep Reading

Can a deep dive into company accounting data reliably predict stocks that will underperform? In their February 2019 paper entitled “Earnings Quality on the Street”, Urooj Khan, Venkat Peddireddy and Shivaram Rajgopal examine proprietary reports from a research firm that screens publicly available accounting data for over 9,000 North American and 5,500 other global companies… Keep Reading