The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and Thaler...

One year after Coronovirus and three years later after initially suggesting them, we revisit the performance of balanced portfolios of leveraged ETFs that we initially suggested in the 2017 paper. Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

This paper reports an investigation into methods of portfolio performance measurement. The work is motivated first by equivocal empirical evidence reported by several authors about the correlation of performance measures with the Sharpe ratio. Secondly it is motivated by recent work which...

We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

In this paper we present a modification of the Sharpe ratio, which is monotone with respect to second-order stochastic dominance. We study its properties and obtain a representation which allows to compute it in an efficient way

In this paper, I examine the sources of momentum returns and uncover a list of intriguing features. I find that when the momentum returns are decomposed the contributions of the explained and the unexplained risk factors depend on the level of analysis, the risk factors used, and the lag...

There has been significant evidence on the forecasting ability of Regime switching regression models. Smart beta or alternative beta indices are gaining wide popularity among investment community. Smart beta indices constructed with either fundamental or scientific weighting schemes are proven...

Active management plays a critical, positive role in the efficiency of capital markets. In the first study of its kind to use data on institutionally-focused products, we find that, while a large percentage of active equity managers earn enough alpha on average to cover their costs, less than 2%...

The paper examines the tail behaviour in financial returns in the Indian debt market.Focussing on the Government securitries Market in India, the study examines whether the behaviour of the tail in the distribution of financial returns exhibit departures from Guaussian assumptions , and if so,...