We show that the profitability of time-series momentum strategies on commodity futures across their entire history is strongly sensitive to the starting day. Using daily returns with 252-day formation periods and 21-day holding periods, the Sharpe ratio depends on whether one starts on the first...

Does better performance lead to more assets? We examine nearly 30,000 mutual funds to determine the effect that a funds outperformance relative to its peers has on the funds later asset size. We find that a fund that earns ten percent more than the size-weighted average of its peers in its style...

Drawing on and extending an estate allocation algorithm of 12th century philosopher Moses ben Maimon, we show how “Maimonides Risk Parity” can link together the equal weighted, market capitalization weighted, and risk parity portfolios in a unified, elegant, and concise theoretical...

We analyze a unique, comprehensive, multi-decade dataset of all communications with clients by a boutique investment advisory and investment management firm to explore the behavior of individuals involved in financial decision making. We propose and test a theory of self-regulation to explain...

This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards high fundamental-to-price stocks. We find that the tilt strategies have similar return, volatility and turnover as the corresponding fundamental index, but have higher...