Does appearance-based masculinity predict hedge fund manager performance? In their January 2018 paper entitled “Do Alpha Males Deliver Alpha? Testosterone and Hedge Funds”, Yan Lu and Melvyn Teo use facial width-to-height ratio (fWHR) as a positively related proxy...
Are financial advisors expert guides for their client investors? In their December 2017 paper entitled “The Misguided Beliefs of Financial Advisors”, Juhani Linnainmaa, Brian Melzer and Alessandro Previtero compare investing practices/results of Canadian financial advisors to those of...
How can machine investors beat humans? In the introductory chapter of his January 2018 book entitled “Financial Machine Learning as a Distinct Subject”, Marcos Lopez de Prado prescribes success factors for machine learning as applied...
Can a simple set of exchange-traded funds (ETF), weighted judiciously, mimic the behaviors of most financial assets? In their January 2018 paper entitled “Mimicking Portfolios”, Richard Roll and Akshay Srivastava present and test a way of constructing mimicking...
Want your machine to excel in investing? In his January 2018 paper entitled “The 10 Reasons Most Machine Learning Funds Fail”, Marcos Lopez de Prado examines common errors made by machine learning experts when tackling financial data...
How should an investor’s view of the equity risk premium vary with investment horizon? In the December 2017 update of their paper entitled “Volatility Lessons”, Eugene Fama and Kenneth French examine how the U.S. equity risk premium...
The home page, “Simple Asset Class ETF Momentum Strategy” (SACEMS) and “Simple Asset Class ETF Value Strategy” (SACEVS) now show preliminary positions for February 2018. For SACEMS, past returns for the first and second positions and...
How, in a nutshell, do momentum investing strategies work? In his December 2017 paper entitled “Keep Up the Momentum”, Thierry Roncalli summarizes the nature of the momentum premium in a less mathematical way than in the previously...
Does the increase in number of Bitcoin wallets at a rate that far exceeds growth in number of Bitcoins explain the dramatic rise in Bitcoin price? In the December revision of his paper entitled “Metcalfe’s Law...
“Usefulness of P/E10 as Stock Market Return Predictor” investigates whether P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) usefully predicts U.S. stock market returns over the long run. That analysis employs Robert Shiller’s data set, which defines P/E10...
A subscriber proposed: “It would be interesting to do an analysis of the Chemical Activity Barometer [CAB] to see if it has predictive value for the stock market. Either [look] at stock prices when [CAB makes]...
Subscribers have suggested an alternative approach for the “Simple Asset Class ETF Momentum Strategy” (SACEMS) designed to suppress trading by holding past winners until they fall further in the rankings than in the baseline specification. SACEMS...
Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100%) produce obvious benefits for investors? In their...
What is the best way to think about reliabilities and risks of various anomaly premiums commonly that investors believe to be available for exploitation? In their December 2017 paper entitled “A Framework for Risk Premia...
What is the best way to implement futures momentum and manage its risk? In their November 2017 paper entitled “Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches”, Minyou Fan, Youwei Li and Jiadong...
Are there rational ways to decide whether cryptocurrencies such as Bitcoin are in bubbles? In their December 2017 paper entitled “Datestamping the Bitcoin and Ethereum Bubbles”, Shaen Corbet, Brian Lucey and Larisa Yarovaya test for bubbles in Bitcoin...
How efficiently can a sophisticated fund manager implement long-only stock momentum portfolios? In their December 2017 paper entitled “Implementing Momentum: What Have We Learned?”, Adrienne Ross, Tobias Moskowitz, Ronen Israel and Laura Serban use seven years of live data for...
Is optimal stock anomaly exploitation long-only or long-short? If not long-short, does shorting the market rather than individual stocks work as well as shorting individual stocks? In his November 2017 paper entitled “How Do Short...
What is the smartest way (having the lowest prediction errors) to estimate market beta across stocks for the purpose of portfolio construction? In their November 2017 paper entitled “How to Estimate Beta?”, Fabian Hollstein, Marcel Prokopczuk and Chardin...
Are cryptocurrencies potentially useful portfolio diversifiers? In their November 2017 paper entitled “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets”, Shaen Corbet, Andrew Meegan, Charles Larkin, Brian Lucey and Larisa Yarovaya apply a battery of tests to analyze...
In reaction to “Combine Market Trend and Economic Trend Signals?”, a subscriber suggested adding an interest rate trend signal to those for the U.S. stock market and U.S. unemployment rate for the purpose of timing...
Is value investing particularly profitable when the price spread between cheap and expensive assets (the value spread) is extremely large (deep value)? In their November 2017 paper entitled “Deep Value”, Clifford Asness, John Liew, Lasse Pedersen and Ashwin Thapar...
Do investors underestimate the adverse import of large left tails for future stock returns? In their November 2017 paper entitled “Left-Tail Momentum: Limited Attention of Individual Investors and Expected Equity Returns”, Yigit Atilgan, Turan Bali, Ozgur Demirtas and Doruk...
As described in “Quantifying Snooping Bias in Published Anomalies”, anomalies published in leading journals offer substantial opportunities for exploitation on a gross basis. What profits are left after accounting for portfolio maintenance costs? In their...
Is data snooping bias a material issue for cross-sectional stock return anomalies published in leading journals? In the September 2017 update of their paper entitled “Publication Bias and the Cross-Section of Stock Returns”, Andrew Chen and Tom Zimmermann:...