Investing Research Articles

…investors may find The Options Trading Body of Knowledge useful as a broad source of information on how strategies for stock options work, but they should be skeptical of any judgments it offers on strategy profitability/risk and recognize that rules for other kinds of options may be different.

Nassim Taleb offers some vague guidance on avoiding wildly bad events. See…

…retirees may be able to achieve both higher spending allowances and lower probabilities of portfolio exhaustion by allocating part of their portfolios to a safe core and the balance to a growth-tilted stocks-bonds mix.

…investors may be able to exploit the value premium more efficiently and completely by defining it using the Enterprise Multiple rather than the book-to-market ratio.

Best guess is that combining low volatility with high momentum might offer an edge…

…allocating funds to stocks and Treasuries according to the relationships between their past returns and these three off-the-beaten-path macroeconomic indicators may produce market-beating results.

The notion that individuals are at a disadvantage compared to big traders in constructing and maintaining a diversified portfolio of specific stocks seems reasonable.

For the strike-rolling process you describe to enhance returns over the long run, the incrementally accrued time value must more than offset the combined effects of: (1) the incremental trading frictions (principally bid-ask spreads); and, (2) the increased risk of in-the-money expirations.

The net of this research appears to be that only very low-cost traders (such as market makers) can effectively exploit the anomaly.

It seems reasonable to infer from this analysis that many people “renting” automated trading strategies do not do very well and that they may underperform the broad stock market as a group.