Investing Research Articles

...evidence from simple tests indicates that quarterly change in productivity is of no use to investors as a standalone indicator for predicting stock market behavior.

Below is a weekly summary of our research findings for 6/24/19 through 6/28/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does stock performance vary with age (since listing), and does any such effect interact with market capitalization (size)? In their April 2019 paper entitled “Age Matters”, Danqiao Guo, Phelim Boyle, Chengguo Weng and Tony Wirjanto...

Do simple factor models help explain future return variations across different cryptocurrencies, as they do for stocks? In their April 2019 paper entitled “Common Risk Factors in Cryptocurrency”, Yukun Liu, Aleh Tsyvinski and Xi Wu...

What steps should investors consider to mitigate impact of inevitable large U.S. stock market corrections? In their May 2019 paper entitled “The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?”,...

Below is a weekly summary of our research findings for 6/17/19 through 6/21/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Are Initial Coin Offerings (ICO), also called token sales or token offerings, typically good investments? ICOs are smart contracts on a blockchain (usually Ethereum) that enable firms to raise money directly from investors. The median...

Below is a weekly summary of our research findings for 6/10/19 through 6/14/19. 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 straightforward way to model the returns on U.S. Corporate bond indexes? In his April 2019 paper entitled “Give Credit Where Credit is Due: What Explains Corporate Bond Returns?”, Roni Israelov models returns...

Considering taxes, in what order should U.S. retirees consume different sources of retirement savings/income? In their August 2018 paper entitled “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts”,...

Below is a weekly summary of our research findings for 6/3/19 through 6/7/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Do all kinds of assets and long-short equity factor premiums exhibit exploitable time series (intrinsic or absolute momentum)? In their September 2018 paper entitled “Trends Everywhere”, Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Pedersen...

Are mean-variance (MV) strategies preferable for allocations to asset classes and equal-weight (EW) preferable for allocations to much noisier individual assets? In their May 2019 paper entitled “Horses for Courses: Mean-Variance for Asset Allocation and...

Are variables determined in published papers to be statistically significant predictors of stock market returns really useful to investors? In their November 2018 paper entitled “On the Economic Value of Stock Market Return Predictors”, Scott...

Below is a weekly summary of our research findings for 5/28/19 through 5/31/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

How does news flow interact with short-term stock market return? In their April 2019 paper entitled “Forecasting the Equity Premium: Mind the News!”, Philipp Adämmer and Rainer Schüssler test the ability of a machine learning...

Below is a weekly summary of our research findings for 5/20/19 through 5/24/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

How should investors assess whether the market is fairly valuing cryptocurrencies such as Bitcoin? In his March 2019 paper entitled “Bitcoin Spreads Like a Virus”, Timothy Peterson offers a way to value Bitcoin based on...

For investors embracing the concept of portfolios based on factor premiums (rather than asset classes), what is the best factor allocation approach? In their March 2019 paper entitled “Factor-Based Allocation: Is There a Superior Strategy?”,...

How well have long/short equity mutual funds done in recent years? In their April 2019 paper entitled “Hedge Funds Versus Hedged Mutual Funds: An Examination of Long/Short Funds; A Performance Update”, David McCarthy and Brian...

Below is a weekly summary of our research findings for 5/13/19 through 5/17/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Why are expert economic and financial (econometric) forecasters so inaccurate? In his April 2019 presentation package for a graduate course at Cornell entitled “The 7 Reasons Most Econometric Investments Fail”, Marcos Lopez de Prado enumerates...

Did Bill Gross, the Bond King, generate significantly positive alpha during his May 1987 through September 2014 tenure as manager of PIMCO Total Return Fund (Fund)? In their March 2019 paper entitled “Bill Gross’ Alpha:...

Does return persistence of individual stocks predict associated option returns? In their March 2019 paper entitled “Stock Return Autocorrelations and the Cross Section of Option Returns”, Yoontae Jeon, Raymond Kan and Gang Li investigate relationships...

Do equity strategy portfolios characterized by aggressive (conservative) scaling when portfolio volatility is recently low (high) reliably beat unmanaged performance? In their March 2019 paper entitled “On the Performance of Volatility-Managed Portfolios”, Scott Cederburg, Michael...