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Below is a weekly summary of our research findings for 5/13/19 through 5/17/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. Keep Reading

The post Weekly Summary of Research Findings: 5/13/19 – 5/17/19 appeared first on CXO Advisory.

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Why are expert economic and financial (econometric) forecasters so inaccurate? In his April 2019 presentation package for a graduate course at Cornell entitled “The 7 Reasons Most Econometric Investments Fail”, Marcos Lopez de Prado enumerates shortcomings of standard econometric statistical methods, which concentrate on multivariate linear regressions. In contrast, advanced computational methods that exploit machine Keep Reading

The post Financial Experts Ignoring Better Statistical Methods? appeared first on CXO Advisory.

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CXO Advisory by Steve Lecompte - 4d ago

Did Bill Gross, the Bond King, generate significantly positive alpha during his May 1987 through September 2014 tenure as manager of PIMCO Total Return Fund (Fund)? In their March 2019 paper entitled “Bill Gross’ Alpha: The King Versus the Oracle”, Richard Dewey and Aaron Brown investigate whether Bill Gross generates excess average return after adjusting Keep Reading

The post The Bond King’s Alpha appeared first on CXO Advisory.

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Does return persistence of individual stocks predict associated option returns? In their March 2019 paper entitled “Stock Return Autocorrelations and the Cross Section of Option Returns”, Yoontae Jeon, Raymond Kan and Gang Li investigate relationships between equity option returns and return autocorrelations of underlying stocks. They consider call options, put options and straddles (long both Keep Reading

The post Stock Return Autocorrelations and Option Returns appeared first on CXO Advisory.

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Do equity strategy portfolios characterized by aggressive (conservative) scaling when portfolio volatility is recently low (high) reliably beat unmanaged performance? In their March 2019 paper entitled “On the Performance of Volatility-Managed Portfolios”, Scott Cederburg, Michael O’Doherty, Feifei Wang and Xuemin Yan assess whether practical volatility management is systematically attractive. For each of 103 anomalies (nine Keep Reading

The post Does Volatility Management Work for Equity Factor Portfolios? appeared first on CXO Advisory.

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Does crowding of factor investing strategies reliably predict returns for those strategies? In his March 2019 paper entitled “The Impact of Crowding in Alternative Risk Premia Investing”, Nick Baltas explores mechanics of alternative risk (factor) premium crowding and implications of crowding for future performance. He classifies factor premiums as: divergent (such as momentum), inherently destabilizing Keep Reading

The post Effects of Factor Crowding appeared first on CXO Advisory.

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Below is a weekly summary of our research findings for 5/6/19 through 5/10/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. Keep Reading

The post Weekly Summary of Research Findings: 5/6/19 – 5/10/19 appeared first on CXO Advisory.

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Who do investors trust more, expert advisors or algorithms? In her March 2019 paper entitled “Algorithmic Decision-Making: The Death of Second Opinions?”, Nizan Packin employs a survey conducted on Amazon Mechanical Turk to assess automation bias when making significant investment decisions. Each of four groups of respondents received one of the following four questions (response Keep Reading

The post Automation Bias Among Individual Investors appeared first on CXO Advisory.

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...data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.

The post Home Prices and the Stock Market appeared first on CXO Advisory.

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Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value Strategy”: PowerShares DB Keep Reading

The post Does the Turn-of-the-Month Effect Work for Asset Classes? appeared first on CXO Advisory.

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