Investing Research Articles

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 framework for very large (institutional) investors. They assume that the strategic asset allocation (portfolio policy) is to maximize capital appreciation… Keep Reading

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 Stoughton summarize available research on university endowment money management and performance. They identify four streams of research: (1) governance structure… Keep Reading

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 parameters: (1) level of sensitivity to asset return variance and correlation estimates; and, (2) level of tolerance for assets with… Keep Reading

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 sources of alpha for a diversified portfolio. Their decomposition assumes prior determination of the strategic asset allocation (policy portfolio), consisting of… Keep Reading

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 firm-specific news sentiment, changes in the S&P 500 Implied Volatility Index (VIX) and both contemporaneous and future S&P 500 Index… Keep Reading

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 entitled “Anticipating Uncertainty: Straddles Around Earnings Announcements”, Yuhang Xing and Xiaoyan Zhang investigate the performance of short-term, near-the-money straddles during… Keep Reading

Do stock indexes behave predictably after extreme price levels, such as 52-week highs and 52-week lows? To investigate, we consider the behaviors of the Dow Jones Industrial Average (DJIA), the S&P 500 Index and the NASDAQ Composite Index over the 13 weeks after 52-week highs and lows during their available histories. Using weekly levels of… Keep Reading

Do mutual fund managers who employ technical analysis outperform those who do not? In their January 2013 paper entitled “Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis”, David Smith, Christophe Faugere and Ying Wang compare the aggregate investment performance of mutual funds that (self-reportedly) using technical analysis to… Keep Reading

Do moving average rules work for timing stocks over the long run? In his January 2013 paper entitled “The Rise and Fall of Technical Trading Rule Success”, Nicholas Taylor examines the performance of moving average trading rules as applied to components of the Dow Jones Industrial Average (DJIA) over the long run. He considers 10,800 variants of… Keep Reading

Do analyst stock ratings usefully predict associated returns? In his November 2012 paper entitled “Are Stock Recommendations Useful”, Ireneus Stanislawek examines the relationship between stock ratings offered by sell-side analysts around the globe over the past decade and future stock returns. He defines an overall analyst rating ratio for a stock as the number of positive ratings… Keep Reading