Investing Research Articles

Are investment advisors worth the price? In the August 2012 version of their paper entitled “The Impact of Financial Advisors on the Stock Portfolios of Retail Investors”, Marc Kramer and Robert Lensink investigate the impact of financial advisors on individual investor portfolio returns, risk, trading frequency and diversification. For sampled investors, the sponsoring bank standardizes strategic asset allocation… Keep Reading

Does experience improve individual investing performance? In the August 2012 version of their paper entitled “Do Individual Investors Learn from Their Mistakes?”, Maximilian Koestner, Steffen Meyer and Andreas Hackethal examine whether investors learn to avoid portfolio underdiversification, overconfidence (overtrading) and the disposition effect (selling winners and holding losers). They consider three measures of investor experience: cumulative… Keep Reading

Has increasing use of gold as a portfolio diversifier changed the response of its price to crises? In their August 2012 paper entitled “The Destruction of a Safe Haven Asset?”, Dirk Baur and Kristoffer Glover examine the potential of investor behavior to extinguish the safe haven property of gold. Specifically, they consider how widespread inclusion of… Keep Reading

The zero-sum S&P 500 futures/options market involves three groups of traders: (1) commercial hedgers; (2) non-commercial traders (large speculators); and, (3) non-reportable traders (small or retail speculators) representative of the public. The Commodity Futures Trading Commission (CFTC) collects and publishes aggregate positions (short, long and spread) for each group in a weekly Commitment of Traders… Keep Reading

Risk-focused asset allocation strategies derive from evidence that forecasting asset return volatility is easier than forecasting average return. Is there a best risk-focused strategy? In his September 2012 paper entitled “A Small Survey of Quantitative Models that Discard Estimation of Expected Returns for Portfolio Construction”, Stefano Colucci compares asset allocation strategies that rely on forecasted asset… Keep Reading

The model “Simple Asset Class ETF Momentum Strategy” (SACEMS) explores combinations of diversification and momentum as applied to exchange-traded fund (ETF) proxies for asset classes. As introduced, this strategy employed a baseline momentum ranking interval (six-month lagged ETF total return) to the following asset class ETFs, plus cash: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI… Keep Reading

What does price momentum of stocks, whether total or risk-adjusted, imply about future returns of associated corporate bonds? In their August 2012 paper entitled “Residual Equity Momentum for Corporate Bonds”, Daniel Haesen, Patrick Houweling and Jeroen Van Zundert compare the predictive powers of total stock price momentum and risk-adjusted (residual) stock price momentum to predict returns of same-firm… Keep Reading

“CFOs vs. CEOs as Inside Traders” describes research finding that, based on data from before the Sarbanes-Oxley Act (SOX), investors should assume that Chief Financial Officers (CFO) are better inside traders than Chief Executive Officers (CEO). Does this finding hold after SOX? In the August 2012 update of their paper entitled “CEOs, CFOs, and COOs: Why Are… Keep Reading

Do equity styles and sectors exhibit exploitable momentum? In their August 2012 paper entitled “Do Style and Sector Indexes Carry Momentum?”, Linda Chen, George Jiang and Kevin Zhu investigate whether nine style indexes and 12 sector indexes exhibit price momentum. Each month, they form an equally weighted momentum portfolio that is long (short) the third of… Keep Reading

What is the best way to bet against beta in equity markets? In their August 2012 paper entitled “Beta-Arbitrage Strategies: When Do They Work, and Why?”, Tony Berrada, Reda Jurg Messikh, Gianluca Oderda and Olivier Pictet derive and test a dynamic low-beta portfolio strategy designed to maximize excess return relative to the market portfolio. They test… Keep Reading