Exact solutions are presented for the mean, variance, and skewness of compound portfolio returns, with and without periodic rebalancing, in a setting where single-period returns are symmetric. More frequent rebalancing reduces portfolio volatility and is unambiguously preferred by mean-variance...

Some common stocks display extreme positive performance. Between 1973 and 2020, 3,615 U.S.-listed stocks generated at least a 5x cumulative gross return relative to a prior low point, and also had a minimum inflation-adjusted market capitalization of $500 million. Among these, 29.8% repeated the...

Portfolios formed on a time-varying basis from the principal components of the factors compiled by Chen and Zimmerman (CZ) and Jensen, Kelly, and Pedersen (JKP) display large and robust out-of-sample Sharpe ratios, implying that the factors strongly forecast the cross-section of stock returns....

We study long-run shareholder outcomes for over 64,000 global common stocks during the January 1990 to December 2020 period. We document that the majority, 55.2% of U.S. stocks and 57.4% of non-U.S. stocks, underperform one-month U.S. Treasury bills in terms of compound returns over the full...