How can investment strategy researchers best address the randomness inherent in market data and the ability of investors/markets to adapt to changing conditions? In his September 2019 paper entitled “Tactical Investment Algorithms”, Marcos Lopez de...
Below is a weekly summary of our research findings for 10/14/19 through 10/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way that asset managers can share knowledge/data across proprietary boundaries with many researchers to advance development of investment strategies? In their September 2019 paper entitled “Crowdsourced Investment Research through Tournaments”, Marcos Lopez...
The following list links to summaries of recent (since 2010) investment research using long data samples. These summaries may be helpful in developing strategic allocations and tactical wariness for long-horizon investments. “Commodity Futures Risk Premium...
Below is a weekly summary of our research findings for 10/7/19 through 10/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are long run returns for commodity futures? In their September 2019 paper entitled “The Commodity Futures Risk Premium: 1871-2018”, Geetesh Bhardwaj, Rajkumar Janardanan and Geert Rouwenhorst estimate the historical risk premium of commodity futures...
Do bonds have a bad rap based on an unfavorable subsample? In the September 2019 revisions of his papers entitled “The US Bond Market Before 1926: Investor Total Return from 1793, Comparing Federal, Municipal, and...
How does a shift in emphasis from active to passive investing affect the financial market risk landscape? In their September 2019 paper entitled “The Shift From Active to Passive Investing: Potential Risks to Financial Stability?”,...
Where can investors find a large catalog of trading strategies spanning asset classes? In the September 2019 update of their paper entitled “151 Trading Strategies”, Zura Kakushadze and Juan Andres Serur make freely available their...
Below is a weekly summary of our research findings for 9/30/19 through 10/4/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the best way to avoid stock momentum portfolio crashes? In her July 2019 paper entitled “Momentum with Volatility Timing”, Yulia Malitskaia tests a long-only volatility-timed stock momentum strategy that exits holdings when strategy...
Below is a weekly summary of our research findings for 9/23/19 through 9/27/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Stock Market and the National Election Cycle” examines the behavior of the U.S. stock market across the U.S. presidential term cycle (years 1, 2, 3 or 4) starting in 1950. Is a longer sample informative?...
Can investors identify stocks that incorporate news slowly enough to allow exploitation? In their August 2019 paper entitled “Tomorrow’s Fish and Chip Paper? Slowly Incorporated News and the Cross-Section of Stock Returns”, Ran Tao, Chris...
Why has value investing (long undervalued stocks and short overvalued stocks) performed poorly since 2007? Is it dead, or will it recover? In their August 2019 paper entitled “Explaining the Demise of Value Investing”, Baruch...
Below is a weekly summary of our research findings for 9/16/19 through 9/20/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are the essential points from the stream of research on low-volatility investing? In their August 2019 paper entitled “The Volatility Effect Revisited”, David Blitz, Pim van Vliet and Guido Baltussen provide an overview of...
Can investors apply deep learning software to expose obscure but useful management sentiment in firm SEC Form 10-K filings? In their July 2019 paper entitled “Is Positive Sentiment in Corporate Annual Reports Informative? Evidence from...
Do long lags between end of firm quarterly and annual financial reporting periods and issuance of SEC-required financial reports (10-Q and 10-K) indicate internal firm inefficiencies and/or reluctance to disclose adverse performance? In their August...
What is the best risk management approach for a conventional stock momentum strategy? In their August 2019 paper entitled “Enhanced Momentum Strategies”, Matthias Hanauer and Steffen Windmueller compare performances of several stock momentum strategy risk...
Does the term premium as measured by returns to zero-coupon U.S. Treasury notes (T-notes) concentrate during some part of the monthly cycle? In their August 2019 paper entitled “Predictable End-of-Month Treasury Returns”, Jonathan Hartley and...
Below is a weekly summary of our research findings for 9/9/19 through 9/13/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors effectively use firm characteristics to screen European stocks? In their August 2019 paper entitled “Predictability and the Cross-Section of Expected Returns: Evidence from the European Stock Market”, Wolfgang Drobetz, Rebekka Haller, Christian Jasperneite...
How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) and the exchange-traded fund (ETF) asset class proxies used in “Simple...
Below is a weekly summary of our research findings for 9/3/19 through 9/6/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...