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...
Is there a practical way to apply momentum investing in a Modern Portfolio Theory (MPT) framework? In his June 2014 paper entitled “Momentum, Markowitz, and Smart Beta”, Wouter Keller constructs a long-only, unleveraged Modern Asset Allocation (MAA) model in three...
Are alternative mutual funds attractive for retail investors as hedge fund surrogates? In their June 2014 paper entitled “Performance of Alternative Mutual Funds: The Average Investors Hedge Fund”, Srinidhi Kanuri and Robert McLeod analyze the performance of alternative mutual...
Does technical market analysis work? In their June 2014 paper entitled “Technical Market Indicators: An Overview”, Jiali Fang, Yafeng Qin and Ben Jacobsen examine the profitability of 93 market indicators as applied to the S&P 500. Of the...
Do new funds have the latitude to concentrate in the best opportunities while they remain small? In his June 2014 presentation package entitled “How Long Might An Active Bond ETF’s ‘Best Ideas’ Outperformance Window Last?”,...
Does using after-tax, rather than pre-tax, returns make a big difference in allocating assets based on mean-variance optimization? In their June 2014 paper entitled “What Would Yale Do If It Were Taxable?” Patrick Geddes, Lisa Goldberg and Stephen...
Risk parity asset strategies generally make large allocations to low-volatility assets such as bonds, which tend to fall in value when interest rates rise. Is risk parity a safe strategy when rates rise? In their June 2014...
What are the main investment behaviors of emerging markets and component stocks? In their January 2014 paper entitled “Studies of Equity Returns in Emerging Markets: A Literature Review”, Yigit Atilgan, Ozgur Demirtas and Koray Simsek survey the stream...
The “Simple Asset Class ETF Momentum Strategy” each month allocates all funds to the one of the following eight asset class exchange-traded funds (ETF), or cash, with the highest total return over the past five months: PowerShares...
A subscriber suggested an alternative to the “Simple Asset Class ETF Momentum Strategy” that weights asset class ETFs according to five-month past return ranking (such as 35-25-20-10-4-3-2-1) rather than allocating all funds to the winner. Do the diversification benefits...
We have updated the detail at “Momentum Strategy” to incorporate the historical data changes described in “Simple Asset Class ETF Momentum Strategy Data Changes”. The principal effects are to decrease the performance of the Top 1 portfolio...
In reaction to “10-month Versus 40-week Versus 200-day SMA”, a reader inquired whether using measurement intervals of longer than a month to calculate simple moving averages (SMA) would suppress trading compared to monthly intervals and thereby...
Do returns for segments of the normal U.S. stock market trading day (9:30 AM to 4:00 PM Eastern time) exhibit exploitable interactions? In the May 2014 version of their paper entitled “Intraday Momentum: The First...
Do individuals who actively reallocate funds within their pension accounts outperform passive counterparts? In the March 2014 update of their paper entitled “Individual Investor Activity and Performance”, Magnus Dahlquist, Jose Vicente Martinez and Paul Soderlind examine...
Does the return to momentum investing reliably reflect a reward for taking some risk? In the March 2014 version of her paper entitled “Asymmetric Risks of Momentum Strategies”, Victoria Dobrynskaya examines the performance of past winner and loser...
Is relative momentum an effective way to switch between stocks and bonds? In his May 2014 paper entitled “Simple and Effective Market Timing with Tactical Asset Allocation”, Lewis Glenn compares the performances of two tactical asset...
Do relative momentum and trend filters operate differently on value and growth stocks? In their May 2014 paper entitled “When Growth Beats Value: Removing Tail Risk from Global Equity Momentum Strategies”, Andrew Clare, James Seaton, Peter...
In checking data for the monthly update of “Simple Asset Class ETF Momentum Strategy” (SACEMS), we discovered changes in historical dividend/split-adjusted prices for the following strategy components: iShares MSCI Emerging Markets Index (EEM) iShares MSCI EAFE...
What about all those criticisms of momentum investing (such as high turnover/trading frictions and crash-proneness)? In the May 2014 draft of their paper entitled “Fact, Fiction and Momentum Investing”, Clifford Asness, Andrea Frazzini, Ronen Israel and...
Does the Sell-in-May/Halloween effect hold in recent data? In their April 2014 paper entitled “Sell in May and Go Away: Still Good Advice for Investors?”, Hubert Dichtl and Wolfgang Drobetz explore whether holding one of several stock indexes (cash)...