WHAT DOESN’T WORK
Qualitative Stock Picking and Market Timing
Stock market timing, stock selection, etc. proves to be a money losing proposition over time.
SPIVA Scorecard
Twice per year, Standard and Poor’s compares the performance of actively-managed mutual funds to...
The Arithmetic of Active Management
An article by William F. Sharpe, from the January/February 1991 issue of The Financial Analysts...
Institutional Investors and the Limits of Arbitrage
This 2011 paper out of the Tuck School of Business (Dartmouth) concludes that institutional (active)...
It is best to understand that as market participants, we have NO idea where the market is headed in the short term. There are indicators for subsequent market returns but unfortunately, these returns are realized over the period of years. Looking at the market in shorter time frames is most often counter productive.
Fooled by Data-Mining: The Real Live Performance of Market Timing
This 2013 paper by Valeriy Zakamulin revisits the myths about the superior performance of market...
Another Nobel Laureate Moment on Market Timing
Professor Harry Markowitz, Nobel Laureate in Economics and Father of Modern Portfolio Theory,...
Do you ever think that you can pick a really good manager ahead of time? (it is easy to pick one after the fact). It turns out that ‘ex post’ (past) returns have very little predictive power for ‘ex ante’ (expected) returns. 99% of the investing public fails to appreciate this point.
Performance Persistence
The annual SPIVA Persistence Scorecard, published by S&P Dow Jones Indices (July 2014), shows...
Do you think that investing in a hedge fund with make you rich? More than likely the only person who will get rich is the hedge fund manager.
The Hedge Fund Mirage
The Wall Street Journal reviews Simon Lack’s 2012 book, “The Hedge Fund Mirage.” In this book,...
WHAT DOES WORK
Enhanced-Indexing via Factor-Model Analysis
Foundations of Factor Investing
This 2013 paper by MSCI Barra lays out the rationale for factor based investing.
Forecasting stock returns: What signals matter, and what do they say now?
An October 2012 piece by Vanguard. Expanding on previous Vanguard research in using U.S. stock...
Common Risk Factors in the Returns on Stocks and Bonds
This well-known 1992 paper by Eugene Fama and Ken French puts forward a model explaining US equity...
Value vs. Growth: The International Evidence
This 1997 paper by Eugene Fama and Ken French shows that value stocks have higher returns than...
Value and Momentum Everywhere
This 2013 article by Asness, Moskowitz and Pedersen finds consistent value and momentum return...
Fact, Fiction and Momentum Investing
This 2014 paper by Asness, Frazzini, Israel and Moskowitz reviews the academic discovery of momentum...
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
This 1993 paper by Narashimhan Jegadeesh and Sheridan Titman documents that momentum strategies,...
On Persistence in Mutual Fund Performance
This 1997 piece by Mark Carhart suggests that funds with high returns last year have...
Do Industries Explain Momentum?
This 2009 paper by Fraulo and Nguyen looks at the debate over whether momentum is a industry or a...
Common Risk Factors in the Returns on Stocks and Bonds
This well-known 1992 paper by Eugene Fama and Ken French puts forward a model explaining US equity...
The Relationships Between Return and Market Value of Common Stocks
This 1981 paper by Rolf Banz finds that smaller firms have had higher risk adjusted returns, on...
A Closer Look at the Short-term Return Reversal
Zhi Da, Qianqiu Liu, and Ernst Schaumburg (2013) detail the empirical reasoning behind the...
Predicting Stock Returns Using Industry-Relative Firm Characteristics
This paper by Asness, Porter & Stevens (2000) examines return measures when explanatory...