What is the best way to capture the slowly realized and variable value premium? In his August 2014 paper entitled “Value Investing: Smart Beta vs. Style Indices”, Jason Hsu compares exploitation of the value premium by...
How can researchers account for the snooping bias derived from testing of multiple strategy alternatives on the same set of data? In the July 2014 version of their paper entitled “Evaluating Trading Strategies”, Campbell Harvey and Yan...
How should investors use Morningstar mutual fund ratings/grades to select mutual funds? In his July 2014 paper entitled “Morningstar Mutual Fund Measures and Selection Model”, John Haslem surveys the five kinds of Morningstar mutual fund ratings and...
In response to “Optimal Monthly Cycle for Simple Asset Class ETF Momentum Strategy?”, a subscriber asked about the optimal monthly cycle for “Simple Sector ETF Momentum Strategy”, which each month allocates all funds to the...
Are widely used volatility-adjusted investment performance metrics, such as Sharpe ratio, robust to different measurement intervals? In the July 2014 version of their paper entitled “The Divergence of High- and Low-Frequency Estimation: Implications for Performance...
Has the growing role of financial investors in commodities markets (financialization) weakened performance of widely used momentum and term structure investing strategies? In his July 2014 paper entitled “Strategies Based on Momentum and Term Structure in Financialized Commodity...
What is the state of cyclically adjusted price-earnings ratios (CAPE, P/E10 or Shiller PE), stock index level divided by average real earnings over the past ten years, across country equity markets worldwide? In their July 2014 paper entitled “CAPE...
Is risk for long-term investors different from that for short-term investors? In his July 2014 paper entitled “Rethinking Risk (II): The Size and Value Effects”, Javier Estrada examines the riskiness of small stocks versus large stocks and...
Is there a best way to exploit unusual closed-end fund discounts to net asset value? In their July 2014 paper entitled “Exploiting Closed-End Fund Discounts: The Market May Be Much More Inefficient Than You Thought”, Dilip Patro, Louis Piccotti and...
How strong is investor herding with respect to friends, family and co-workers? In their June 2014 paper entitled “Peer Effects, Personal Characteristics and Asset Allocation”, Annie Zhang, Ben Jacobsen and Ben Marshall examine the roles of personal characteristics (age, gender,...
“Mutual Fund Hot Hand Performance” tests a “hot hand” strategy that each year picks the top performer from the Vanguard family of diversified equity mutual funds (not including sector funds) and holds that winner the next year. A subscriber...
Is there some tractable investment performance metric that corrects weaknesses commonly encountered in financial markets research? In the July 2014 version of their paper entitled “The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and...
How do hedge funds electing not to report to a commercial database differ from those that do? In their July 2014 paper entitled “What Happens ‘Before the Birth’ and ‘After the Death’ of a Hedge...
Should investors believe that they can usefully time the stock market? If so, how big might “usefully” be? In their July 2014 paper entitled “Can Individual Investors Time Bubbles?”, Jussi Keppo, Tyler Shumway and Daniel Weagley investigate persistence...
Are the sources of active mutual fund risk mostly common (systematic) or unique (idiosyncratic)? In his July 2014 paper entitled “Components of Portfolio Variance: R2, SelectionShare and TimingShare”, Anders Ekholm decomposes mutual fund return variance (risk) into three...
Is there some better predictor of long-term stock market return than the widely cited cyclically adjusted price-earnings ratio (P/E10 or CAPE)? In the July 2014 version of his paper entitled “Forecasting Equity Returns: An Analysis of Macro vs....
Do the behaviors of the most widely accepted stock market factors (size, book-to-market or value, and momentum) vary with the economic trend? In the June 2014 version of their paper entitled “Macroeconomic Determinants of Cyclical Variations in...
Can investors exploit monthly persistence in the value premium for U.S. stocks? In his February 2014 paper entitled “Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns”, Kevin Oversby investigates whether investors can exploit the fact that...
Are Morningstar’s Ultimate Stock-Pickers good stock pickers? In his June 2014 paper entitled “Using Random Portfolios to Evaluate the Performance of the Ultimate Stock-Pickers Index”, Stefaan Pauwels compares the quarterly volatility-adjusted performances of the Morningstar Ultimate...
Do hedge fund managers who use technical analysis beat those who do not? In their May 2014 paper entitled “Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry”, David Smith, Na Wang, Ying Wang and Edward Zychowicz examine the...
...Robert Taylor's accuracy rate probably derives not from forecasting ability but from defining targets that are very hard to miss. The accuracy rate seems high only if one ignores the peculiar way he defines trends.
Does growth in a firm’s operating costs signal trouble for its stock? In their June 2014 preliminary paper entitled “Cost Growth and Stock Returns”, Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou examine the relationship between growth in...
Does intensity of firm quarterly earnings releases affect stock market behaviors? A reader proposed the following stock market timing strategy based on a strictly calendar-based definition of earnings season: go short (long) the market at...
Do commonly used indicators reliably predict stock size, value and momentum strategy returns? In the June 2014 version of his paper entitled “A Comprehensive Look at Size, Value and Momentum Return Predictability”, Afonso Januario examines the...
“Sticky Winner Asset Class ETF Momentum Strategy” tests whether limiting the trading of the “Simple Asset Class ETF Momentum Strategy” by holding onto the winner until it drops out of the top three boosts performance of the latter...