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...
Does crowding of factor investing strategies reliably predict returns for those strategies? In his March 2019 paper entitled “The Impact of Crowding in Alternative Risk Premia Investing”, Nick Baltas explores mechanics of alternative risk (factor)...
Below is a weekly summary of our research findings for 5/6/19 through 5/10/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Who do investors trust more, expert advisors or algorithms? In her March 2019 paper entitled “Algorithmic Decision-Making: The Death of Second Opinions?”, Nizan Packin employs a survey conducted on Amazon Mechanical Turk to assess automation...
Below is a weekly summary of our research findings for 4/29/19 through 5/3/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which fund family is better, Vanguard or Fidelity? In their April 2019 paper entitled “Vanguard versus Fidelity: Multidimensional Comparison of the Index Funds and ETFs of the Two Largest Mutual Fund Families”, Chong Li, Edward...
Can a deep dive into company accounting data reliably predict stocks that will underperform? In their February 2019 paper entitled “Earnings Quality on the Street”, Urooj Khan, Venkat Peddireddy and Shivaram Rajgopal examine proprietary reports...
Do returns for equity factors (long stocks with high expected returns and short stocks with low expected returns based on some firm/stock trading characteristic) broadly and reliably exhibit momentum? In other words, do factors with...
Below is a weekly summary of our research findings for 4/22/19 through 4/26/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How well do trailing stop-loss rules work for U.S. stocks? In their March 2019 paper entitled “Risk Reduction Using Trailing Stop-Loss Rules”, Bochuan Dai, Ben Marshall, Nick Nguyen and Nuttawat Visaltanachoti evaluate effectiveness of trailing...
How should investors manage their portfolios to withstand market crashes. In his March 2019 paper entitled “Managing the Downside of Active and Passive Strategies: Convexity and Fragilities”, Raphael Douady discusses how to construct an “antifragile”...
Below is a weekly summary of our research findings for 4/15/19 through 4/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are optimal allocations during retirement years for a portfolio of stocks and bonds, without and with a trend following overlay? In their March 2019 paper entitled “Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing...
Given the uniqueness of fine art objects and uncertainties in demand (at auctions), can investors in paintings get accurate estimates of market values of holdings and potential acquisitions? In their March 2019 paper entitled “Machines...
How can investors confidently assess risk of strategy crashes (tail events) when there are so few crashes even in long samples? In their March 2019 paper entitled “Time-Series Momentum: A Monte-Carlo Approach”, Clemens Struck and...
Do exposures to long-short factor (alternative risk) premiums (ARP) protect portfolios from stock and bond market crashes? In their February 2019 paper entitled “A Framework for Risk Premia Investing: Anywhere to Hide?”, Kari Vatanen and...
Below is a weekly summary of our research findings for 4/8/19 through 4/12/19. 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 common cautions regarding exploitation of academic and practitioner papers on financial markets? To investigate, we collect, collate and summarize our cautions on findings from papers reviewed over the past year. These papers are...
Should investors trust academic equity factor research? In their February 2019 paper entitled “A Census of the Factor Zoo”, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top...
Below is a weekly summary of our research findings for 4/1/19 through 4/5/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do assets other than individual stocks exhibit a short-term (1-month) reversal effect? In their February 2019 paper entitled “Short-Term Momentum (Almost) Everywhere”, Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long investigate short-term return predictability within long...
Do retail investors rationally account for risks as modeled in academic research when choosing actively managed equity mutual funds? In their March 2019 paper entitled “What Do Mutual Fund Investors Really Care About?”, Itzhak Ben-David,...
Have long-short alternative beta (style premium) strategies worked well in practice? In their February 2019 paper entitled “A Decade of Alternative Beta”, Antti Suhonen and Matthias Lennkh use actual performance data to assess alternative beta...
Does widespread investor acceptance of the capital asset pricing model (CAPM) of stock returns drive undervaluation of stocks with low past alphas? In his February 2019 paper entitled “The Unintended Impact of Academic Research on Asset...
A subscriber asked about an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures as recommended in a 2014 Greyserman and Kaminski book [Trend Following with Managed Futures: The Search for Crisis...