Investing Research Articles

Do returns for equity factors (long stocks with high expected returns and short stocks with low expected returns based on some firm/stock trading characteristic) broadly and reliably exhibit momentum? In other words, do factors with strong (weak) returns in recent months have strong (weak) returns next month? In the February 2019 revision of their paper… Keep Reading

Below is a weekly summary of our research findings for 4/22/19 through 4/26/19. 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.

How well do trailing stop-loss rules work for U.S. stocks? In their March 2019 paper entitled “Risk Reduction Using Trailing Stop-Loss Rules”, Bochuan Dai, Ben Marshall, Nick Nguyen and Nuttawat Visaltanachoti evaluate effectiveness of trailing stop-loss rules. Traditional stop-loss rules are price-based or time-based. Trailing stop rules sell (buy back) a stock when it declines… Keep Reading

How should investors manage their portfolios to withstand market crashes. In his March 2019 paper entitled “Managing the Downside of Active and Passive Strategies: Convexity and Fragilities”, Raphael Douady discusses how to construct an “antifragile” portfolio given that most equity market risk is not readily observable. He describes ways to monitor the probability of a… Keep Reading

Below is a weekly summary of our research findings for 4/15/19 through 4/18/19. 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.

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.