What is the performance of the global multi-class market portfolio? In their June 2017 paper entitled “Historical Returns of the Market Portfolio”, Ronald Doeswijk, Trevin Lam and Laurens Swinkels estimate returns to a capitalization-weighted multi-class global market portfolio (GMP)...
Can investors predict the return of a stock from its relationship with the dispersion of returns across all stocks? In their May 2017 paper entitled “Building Efficient Portfolios Sensitive to Market Volatility”, Wei Liu, James Kolari and Jianhua...
Does average sign of recent returns work as well as recent cumulative return as a momentum metric? In their May 2017 paper entitled “Returns Signal Momentum”, Fotis Papailias, Jiadong Liu and Dimitrios Thomakos introduce and test a momentum...
Are there opportunities to trade S&P 500 Index additions in the current market environment? In her May 2017 paper entitled “The Diminished Effect of Index Rebalances”, Konstantina Kappou examines returns for S&P 500 Index additions before and...
Which firm profitability metric best predicts stock returns? In their May 2017 paper entitled “Alternative Profitability Measures and Cross Section of Expected Stock Returns: International Evidence”, Nusret Cakici, Sris Chatterjee and Yi Tang compare abilities of 12 profitability...
Does a carry trade derived from roll yields of futures/forward contracts work within asset classes (undiversified) and across asset classes (iversified)? In his May 2017 paper entitled “Optimising Cross-Asset Carry”, Nick Baltas explores the profitability of cross-sectional...
Do investors view (mechanical) smart beta returns from mutual funds as (skillful) alpha? In the April 2017 update of their paper entitled “Fake Alpha”, Marcel Müller, Tobias Rosenberger and Marliese Uhrig-Homburg investigate the conflation of smart beta (“fake...
Does “sell-in-May” interact with the U.S. election cycle? In the April 2017 update of their paper entitled “Buy Equities in Winter and Sell in May in Pre-Election Years: Market Premiums and Political Uncertainty in the...
Are equity sector and factor investing complementary? In their May 2017 paper entitled “Factors vs. Sectors in Asset Allocation: Stronger Together?”, Marie Briere and Ariane Szafarz compare efficient sector investing (diversifying economic risks) and efficient factor investing...
What modifications must investors make to minimum variance portfolios to make them more attractive than equal weighting? In their April 2017 paper entitled “Asset Allocation with Correlation: A Composite Trade-Off”, Rachael Carroll, Thomas Conlon, John Cotter and Enrique Salvador assess...
Has availability of liquid exchange-traded funds (ETF) designed to exploit predictive stock market factors (smart beta ETFs) affected the mutual fund industry? In their May 2017 paper entitled “How Do Smart Beta ETFs Affect the Asset...
How accurate are consensus firm earnings forecasts worldwide at a 12-month horizon? In his May 2016 paper entitled “An Empirical Study of Financial Analysts Earnings Forecast Accuracy”, Andrew Stotz measures accuracy of consensus 12-month earnings forecasts...
Does relative demand for crowd-sourced information about a stock compared to other information (such as financial statements and analyst estimates) predict its performance? In their March 2017 paper entitled “Investor Reliance on the Crowd”, Alastair Lawrence, James Ryans,...
What happens to the rankings of Guru Grades after weighting each forecast by forecast horizon and specificity? In their March 2017 paper entitled “Evaluation and Ranking of Market Forecasters”, David Bailey, Jonathan Borwein, Amir Salehipour and Marcos Lopez de...
What research is available bearing on silver, platinum and palladium as investments? In their April 2017 paper entitled “The Financial Economics of White Precious Metals – A Survey”, Samuel Vigne, Brian Lucey, Fergal O’Connor and Larisa Yarovaya summarize...
How profitable is automated multi-horizon extraction of liquidity premiums in currency exchange markets? In their April 2017 paper entitled “The Alpha Engine: Designing an Automated Trading Algorithm”, Anton Golub, James Glattfelder and Richard Olsen introduce an...
Can investors improve retirement glide paths via judicious use of smart beta funds? In their March 2017 paper entitled “Life Cycle Investing and Smart Beta Strategies”, Bill Carson, Sara Shores and Nicholas Nefouse augment a conventional equities-bonds life...
What’s the best way to combine profitability and value in screening stocks? In their April 2017 paper entitled “The Magic Formula: Value, Profitability, and the Cross Section of Global Stock Returns”, Douglas Blackburn and Nusret Cakici...
How well do time series (intrinsic) and cross-sectional (relative) momentum work for different types of currency exchange rates? In their April 2017 paper entitled “Momentum in Traditional and Cryptocurrencies Made Simple”, Janick Rohrbach, Silvan Suremann and Joerg Osterrieder...
What makes trend-following tick? In the April 2017 version of his paper entitled “What Drives Trend-Following Profits?”, Adrian Zoicas-Ienciu investigates sources of trend-following profits in equity indexes and stocks. He focuses on daily trading signals for...
Is there a reliable way to forecast spikes in U.S. stock market expected volatility, as measured by the CBOE Volatility Index (VIX), and thereby avoid or exploit associated market declines? In his April 2017 paper...
Are anomaly premiums (expected winners minus losers among assets within a class, based on some asset characteristic) more or less predictable than broad market returns? In their April 2017 paper entitled “Predicting Relative Returns”, Valentin Haddad, Serhiy...
Does stock momentum purified of market, size and book-to-market factor risks (idiosyncratic or residual or pure momentum) distinctly outperform conventional momentum? In their April 2017 paper entitled “The Idiosyncratic Momentum Anomaly”, David Blitz, Matthias Hanauer and Milan Vidojevic...
Are financial markets best viewed as massively multiplayer gambling? In his March 2017 paper entitled “Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists”, Steven Moffitt presents a model of...
We developed the Simple Asset Class ETF Momentum Strategy (SACEMS) about six years ago and the Simple Asset Class ETF Value Strategy (SACEVS) about two years ago independently, focusing on the separate logic of asset...