An Alternative Measure of Investment Risk
December 10, 2008 - Volatility Effects
…gain-loss spread (expected gain minus expected loss) is a simple, intuitive measure of investment risk at least as useful as standard deviation.
December 10, 2008 - Volatility Effects
…gain-loss spread (expected gain minus expected loss) is a simple, intuitive measure of investment risk at least as useful as standard deviation.
December 5, 2008 - Fundamental Valuation
…investors seem to have left the Fed model for dead.
December 4, 2008 - Momentum Investing
…momentum and contrarian ETFs based on long-only partitions of broader indexes might offer individual investors practical and diversified access to the momentum factor, and to the associated longer-term contrarian reversal.
December 3, 2008 - Strategic Allocation
…lifecycle investors will generally achieve greater terminal wealth using interim success-based dynamic stocks/fixed income allocation rules than using pre-determined shifts away from stocks and toward fixed income.
December 2, 2008 - Calendar Effects, Political Indicators
…spectral analysis confirms the probable existence of U.S. stock market cycles that coincide with election cycles.
December 1, 2008 - Big Ideas
…investors/traders may be able to enhance market timing results by focusing on the most predictable styles/industries (for example, via exchange-traded funds).
November 28, 2008 - Investing Expertise, Mutual/Hedge Funds
…hedge fund investors should recognize that many funds generate “alpha” by taking liquidity risks that make converting assets to cash difficult.
November 26, 2008 - Animal Spirits
…relative demand for a stock peaks at $xx.99, while relative supply peaks at $xx.01, suggesting resistance to crossing dollar thresholds.
November 25, 2008 - Value Premium
…the value premium among stocks is persistent across value indicators, time, market capitalizations and geographical markets.
November 24, 2008 - Investing Expertise, Mutual/Hedge Funds
…among a broad sample of actively managed mutual funds, stock picking makes a greater contribution to returns than sector allocation. The average contributions to fund returns from market-sectors-stocks are 79%-9%-12%.