Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to well-known factors such as size, value, momentum, quality, beta and volatility. I then test if Smart Beta funds...

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

This paper shed light to the existence of momentum and reversal patterns in the 18 industry indexes of DJ Euro Stoxx. The analysis is focus on European market and test a presence structural break in year 2000 (financial services and markets act). We made an analysis of five portfolios over eight...

Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using...

I study the market for lending and borrowing securities in the United States. I find that by making securities available for borrowing, mutual funds acquire information about short selling, which they exploit for trading. Funds with discretion in their investment choices rebalance their...

Classifying mandatory 13F stock-holding filings by manager type reveals that hedge fund strategies are mostly contrarian, while mutual fund strategies are largely trend following. The only institutional performers — the 2/3 of hedge fund managers that are contrarian — earn alpha of 2.4% per...