The output gap, a production-based macroeconomic variable, is a strong predictor of U.S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a “fad” in prices being washed...

We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find...

There exists evidence in the performance evaluation literature that mutual funds that are manufactured by large asset management groups with large “fund families” benefit from economies of scale in terms of marketing, distribution and resourcing that accrue from the larger organisation. In...