Can stock return forecasts from fundamental analysis make conventional mean-variance stock portfolio optimization work? In their December 2018 paper entitled “Optimized Fundamental Portfolios”, Matthew Lyle and Teri Yohn construct a portfolio that combines fundamentals-based stock return forecasts and mean-variance...
Are moving averages or intrinsic (time series) momentum theoretically better for following trends in asset prices? In their November 2018 paper entitled “Trend Following with Momentum Versus Moving Average: A Tale of Differences”, Valeriy Zakamulin and Javier...
Do “bubble” stocks (those with high shorting demand and small borrowing supply) exhibit unconventional momentum behaviors? In their December 2018 paper entitled “Overconfidence, Information Diffusion, and Mispricing Persistence”, Kent Daniel, Alexander Klos and Simon Rottke examine how...
Below is a weekly summary of our research findings for 1/7/19 through 1/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers have asked whether risk-adjusted returns might work better than raw returns for ranking Simple Asset Class ETF Momentum Strategy (SACEMS) assets. In fact, “Alternative Momentum Metrics for SACEMS?” supports belief that Sharpe ratio beats raw returns....
A “pump-and-dump” scheme promoter: (1) builds a position in a stock (often a thinly traded penny stock); (2) gooses its price by spreading misleading information; and, (3) liquidates the position once the stock reaches. Who...
Is value of a firm’s patents a reliable predictor of its stock returns? In their November 2018 paper entitled “Patent-to-Market Premium”, Jiaping Qiu, Kevin Tseng and Chao Zhang investigate firm patent-to-market (PTM) ratio (percentage of market value attributable to...
Does active stock factor exposure management boost overall portfolio performance? In their November 2018 paper entitled “Optimal Timing and Tilting of Equity Factors”, Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp explore benefits for global stock portfolios...
Is stock price momentum an imperfect proxy for sensitivity of individual stocks to past dispersion of returns across stocks (zeta risk, or return dispersion)? In their November 2018 paper entitled “Market Risk and the Momentum...
Below is a weekly summary of our research findings for 12/31/18 through 1/4/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does Cyclically-Adjusted Price-to-Earnings ratio (CAPE, or P/E10) usefully predict stock portfolio returns? In their October 2017 paper entitled “The Many Colours of CAPE”, Farouk Jivraj and Robert Shiller examine validity and usefulness of CAPE in three ways: (1)...
Below is a weekly summary of our research findings for 12/24/18 through 12/28/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there advantages to using leveraged exchange-traded funds (ETF) to implement conventional asset class exposures? In their October 2018 paper entitled “A Portfolio of Leveraged Exchange Traded Funds”, William Trainor, Indudeep Chhachhi and Chris Brown investigate performance of...
Should investors rely on aggregate positions of speculators (large non-commercial traders) as indicators of expected futures market returns? In their November 2018 paper entitled “Speculative Pressure”, John Hua Fan, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre investigate speculative pressure...
Do non-profit endowments beat the market with their investments? In their November 2018 paper entitled “Investment Returns and Distribution Policies of Non-Profit Endowment Funds”, Sandeep Dahiya and David Yermack estimate investment returns and distribution rates for a...
Are premium toys attractive alternative investments? In their April 2018 paper entitled “LEGO – The Toy of Smart Investors”, Victoria Dobrynskaya and Julia Kishilova study LEGO sets as an alternative investment. A secondary market for these sets with...
Below is a weekly summary of our research findings for 12/17/18 through 12/21/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does accounting for realistic trading frictions support beliefs that equity index out-of-the money (OTM) put options and at-the-money (ATM) straddles are systematically overpriced? In their October 2018 paper entitled “Index Option Anomalies: How Real Are They?”, Michal...
Do prices of commodity futures contract series reliably exhibit reversal and/or momentum? In their October 2018 paper entitled “Do Momentum and Reversal Strategies Work in Commodity Futures? A Comprehensive Study”, Andrew Urquhart and Hanxiong Zhang investigate the performance...
Below is a weekly summary of our research findings for 12/10/18 through 12/14/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
As a follow-up to “Sunspot Cycle and Stock Market Returns” a reader asked: “Sunspot activity does have a direct relationship to weather. Could one speculate on the agriculture market using the sunspot cycle?” To investigate, we...
A reader asked whether Charles Nenner, self-described as “the talk of Wall Street since accurately predicting some of the biggest moves in the Markets over the past few years,” accurately forecasts equity and commodity markets. We...
Is there a flip side of cyclic relative weakness to the cyclic relative strength described in “Pervasive 12-Month (and 5-Day) Relative Strength Cycles?”? In their October 2018 paper entitled “Seasonal Reversals in Expected Stock Returns”, Matti...
Is there a distinct systematic asset risk, as measured by its market beta, associated with each return measurement interval (frequency, such as daily, monthly or annually)? In other words, is return measurement frequency a risk...
Below is a weekly summary of our research findings for 12/3/18 through 12/7/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...