Investing Research Articles

Eric Singer, manager of the Congressional Effect Fund (CEFFX), introduces his 2012 book, Trade the Congressional Effect: How to Profit from Congress’s Impact on the Stock Market, by stating: “This book provides a new, empirically objective way to understand day by day what our government takes away from all of us. It shows in hard numbers what… Keep Reading

Does the rapid appreciation in gold price over the past decade represent a price bubble? In the October 2012 draft of their paper entitled “A Gold Bubble?”, Dirk Baur and Kristoffer Glover test for bubbles in gold price over the past four decades. Their test method is purely technical, focusing on price explosiveness and requiring no… Keep Reading

How can a risk parity allocation strategy, equally weighting portfolio components by expected risk contribution, not really spread risk? In their October 2012 paper entitled “The Risk in Risk Parity: A Factor Based Analysis of Asset Based Risk Parity”, Vineer Bhansali, Josh Davis, Graham Rennison, Jason Hsu and Feifei Li examine the essential return and risk drivers… Keep Reading

How can equity weighting strategies and their opposites both outperform the stock market? In the October 2012 version of their paper entitled “The Surprising ‘Alpha’ from Malkiel’s Monkey and Upside-down Strategies”, Rob Arnott, Jason Hsu, Vitali Kalesnik and Phil Tindall challenge beliefs underlying a variety of stock investment strategies that beat a capitalization-weighted benchmark by examining… Keep Reading

How can positions in emerging equity markets benefit investment portfolios? In their October 2012 paper entitled “How Large are the Benefits of Emerging Market Equities?”, Mitchell Conover, Gerald Jensen and Robert Johnson examine the returns of emerging equity markets with focus on: (1) performance measures that account for return distribution risk and abnormalities; (2) performance… Keep Reading

Adam Grimes (Chief Investment Officer of Waverly Advisors) prefaces his 2012 book, The Art and Science of Technical Analysis: Market Structure, Price Action, and Trading Strategies, by stating: “This book…offers a comprehensive approach to the problems of technically motivated, directional trading. …Trading is hard. Markets are extremely competitive. They are usually very close to efficient and most… Keep Reading

Do allocations aimed at managing volatility beat simple equal weighting as applied to the cheapest third of 32 country stock markets based on 10-year cyclically adjusted price-to-earnings ratio (CAPE, or P/E10). In their October 2012 paper entitled “Global CAPE Model Optimization”, Adam Butler, Michael Philbrick, Rodrigo Gordillo and Mebane Faber compare the following six volatility management strategies… Keep Reading

Do investors under stress herd, thereby driving return correlations upward? In their October 2012 paper entitled “Quantifying the Behavior of Stock Correlations Under Market Stress”, Tobias Preis, Dror Kenett, Eugene Stanley, Dirk Helbing and Eshel Ben-Jacob relate average stock return correlations to stock market conditions with focus on dramatic market losses. Specifically, they calculate the average Pearson… Keep Reading

Do low-volatility stocks outperform high-volatility stocks around the globe? In their October 2012 paper entitled “Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the ‘Low Volatility’ Anomaly”, Tanuj Dutt and Mark Humphery-Jenner investigate links among stock return volatility, stock returns and firm operating performance in emerging and developed markets outside North America…. Keep Reading

What is the most important aspect of long-term investing? In the July 2012 version of his paper entitled “Strategic Asset Allocation and Portfolio Performance”, Lujer Santacruz assesses the importance of strategic asset class allocation compared to other sources of returns for a set of Australian managed funds. He specifies three fund return components as: (1) strategic allocation,… Keep Reading