Who among us wouldn't want to be the savior that predicts a market crisis and saves our clients from losses in capital -- or even better -- profits from them? A central topic of interest for academics is whether there are more precise tools to predict financial crises. Those who believe so dedicate their efforts to finding early warning indicators.
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]
Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz MikutowskiA version of this paper can be found here. What are the research questions? As the asset pricing research on the "very long-run" has been [...]
An often-overlooked corner of the investing world is the futures market. Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics of daily cash settlement, or new terminology and lingo (e.g., [...]
Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]
Andrew Miller, a regulator contributor to the blog, is passionate about the intersection of academic finance research and financial planning. We obviously love the academic finance research stuff, but our financial planning advice lacks serious [...]
Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative [...]
If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and a lot more exciting than hacking through equity stock selection [...]
Commodity futures investing is arguably the most misunderstood asset class in the financial marketplace. We want to change that state of affairs. Commodity futures strategies are fascinating and can be beneficial to investors. However, commodity futures [...]
There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen "Time Series Momentum" paper (some background here). The paper is behind a [...]
In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad [...]
Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, and can be taxed differently. And let's be blunt: few retail [...]
This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some impressive results. Other research outfits have proposed similar concepts. The [...]
Facts and Fantasies About Commodity Futures Ten Years Later Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized [...]
We investigate various methods to express a 10-Year Treasury Bond allocation. The primary issue with Treasury Bonds is their lack of tax-efficiency. T-bond income (and CPI adjustments in the case of TIPS) are taxed as [...]
As many investors know, Eugene Fama developed the efficient-market hypothesis (EMH) at the University of Chicago in the 60s, and it subsequently flourished across academia. Under the strong-form interpretation of the EMH, asset prices reflect [...]