. Performance is evaluated using several metrics (returns and alphas). Our results show that quality stocks measured by return on … invested capital (ROIC) exhibit superior performance. The incorporation of competitive advantages allows a better … companies that have competitive advantages obtain a better future performance and are recognized by the market with a higher …

demonstrate that time-series momentum captures a significant proportion of international mutual fund performance, but this is … correlations across assets; this challenges the performance of such portfolios …

resultant covariance matrices are not factor models. Based on empirical backtests, we compare the performance of these machine …

predictability -- the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. Motivated by prior … significant stock return and mutual fund performance predictability. The main findings of the paper are that such flow …-based return predictability can fully account for mutual fund performance persistence and the "smart money" effect, and can …