Short Squeezes: A Four-Factor Model
[ad_1] Anticipating and riding short squeezes has grown in popularity as an investment tactic in recent years. The GameStop short squeeze, galvanized by motivated retail investors on internet message boards,…
What Can AI Do for Investment Portfolios? A Case Study
[ad_1] Artificial intelligence (AI)-based strategies are being increasingly applied in investing and portfolio management. Their contexts, utility, and results vary widely, as do their ethical implications. Yet for a technology…
Stocks Turned Upside Down? The COVID-19 Beta Effect
[ad_1] The coronavirus pandemic has flipped the world over and with it the fundamental nature of stock price movements. Since equity markets hit their peak back on 20 February 2020,…
Should Fundamental Investors Give Up on Value Stocks?
[ad_1] A low interest rate environment makes growth stocks the only ones worth researching. Turn on Bloomberg, CNBC, or any other finance news network and you will hear professional investors,…
Dot-Com Redux: Is This Tech “Bubble” Different?
[ad_1] Over 20 years ago, the NASDAQ Composite Index soared to what was its all-time high. On 10 March 2000, it crested at the 5,132 mark. And then things came…
Tesla and the S&P 500: What Could Have Been?
[ad_1] Tesla will finally join the S&P 500 Index on 21 December 2020. Back in September, Standard & Poor’s announced that the index’s inclusion committee had decided not to add…
Bonds and Fixed Income: Where’s the Hedge?
[ad_1] It is no secret that 2022 has been a rough year for pretty much all asset classes across the board. While US equities have fallen more than 20%, the…
How Long Does Competitive Advantage Last? A Sector Analysis
[ad_1] Economic theory holds that absent monopoly powers and barriers to entry, every firm’s competitive advantage in an industry will diminish and its profits fall to zero over time. While…
Trading at All Hours: The Portfolio Implications
[ad_1] Millions of retail investors opened up brokerage accounts this past year and many took to trading throughout the day as a way to pass the time, keep themselves entertained,…
SPACs: An Uncorrelated Asset Class?
[ad_1] Special-purpose acquisition companies (SPACs) have surpassed traditional initial public offerings (IPOs) in volume this year and some have hailed them as a new asset class that all investors should…
Fixed-Income Allocations: Where To? | CFA Institute Enterprising Investor
[ad_1] As the US economy reopens following the COVID-19-induced recession and bond yields finally tick up, how should investors shift their fixed-income portfolios to take advantage of the coming economic…
Low- or High-Volatility: Which Wins the Return Battle?
[ad_1] When it comes to volatility, finance has two schools of thought: The classical view associates greater risk with greater reward. The more risk a portfolio takes on, the more…
Meme Stocks and Systematic Risk
[ad_1] “Meme stocks” are a risky bunch. Prone to wild and unpredictable swings based on rumors and internet message board discussions, they are traded mostly by retail investors in search…
Growth, Value, and Skewness: Are Growth Stocks a Lottery-Like Bet?
[ad_1] Skewness in asset returns is a perplexing phenomenon and evokes different behavior from investors. Some show a preference for stocks with significant right skewness, which much like playing the…
Revisiting Beta: How Well Has Beta Predicted Returns?
[ad_1] After the capital asset pricing model (CAPM) was developed in the 1960s and 1970s, financial researchers started to test how well this theoretical model actually worked in the real…
Chinese and World Stock Market Co-Movements: Two Findings
[ad_1] China’s emergence as a global economy on the world stage is perhaps the biggest economic story of the last 30 years. During the last several decades, China’s industry has…
Fama and French: The Five-Factor Model Revisited
[ad_1] Eugene F. Fama and Kenneth R. French introduced their three-factor model augmenting the capital asset pricing model (CAPM) nearly three decades ago. They proposed two factors in addition to…
Technical Analysis Revisited: Moving Averages = Above Average Returns?
[ad_1] Technical analysis — trading based on the chart patterns of stocks — has always been a hotly debated investing tactic. While fundamental analysts may decry it as junk science, to…
Options Markets: How Far Have Implied Transaction Costs Fallen?
[ad_1] A key trend in the options markets over the last 20 years is the decline in trading commissions. In the early aughts, many brokerage groups charged $10 a trade.…
Portfolio Diversification: Harder Than It Used to Be?
[ad_1] “One of the most vexing problems in investment management is that diversification seems to disappear when investors need it the most.” — Sébastien Page , CFA, and Robert A. Panariello, CFA,…
How Sharp Is the Sharpe Ratio? An Analysis of Global Stock Indices
[ad_1] Investors across the globe use the Sharpe Ratio, among other risk-adjusted metrics, to compare the performance of mutual fund and hedge fund managers as well as asset classes and…
Digital Gold or Fool’s Gold: Is Crypto Really a Hedge against Equity Risk?
[ad_1] Crypto enthusiasts often claim that digital coins and tokens are uncorrelated with equities and can provide a safe haven amid stock market crashes. The assumption is that cryptoassets will…
COVID-19 Correlations: Local Cases, Local Returns?
[ad_1] That local mood affects local stock returns is a longstanding truism of the financial markets. Numerous behavioral studies back this up. When a sports teams loses, for example, the…