In “Benjamin Graham and Risk”, Brandes Institute Advisory Board member Bruce Grantier examines the similarities and differences between the modern portfolio theory concept of risk and the writings of Benjamin Graham and other prominent value investors. This article is part of an ongoing...

This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong stock exchange. To do so, we first select arbitrarily several factors that we a priori believe to be significant, we then collect the data and evaluate the returns associated with...

In this paper we apply Random Matrix Theory (RMT) to study daily returns correlations of 83 companies that are part of the Chilean stock market during the period 2000 to 2011. We find that using RMT to identify statistically significant correlations within our sample of stocks significantly...

Despite the recent spike in cross-asset class correlations, commodities remain an asset class set apart by distinct risk factors that may enhance the diversification of traditional portfolios. Their superior performance relative to equities and fixed income in times of rising inflation may also...

This study documents strong mean aversion in U.S. fixed income returns (but not stock returns) at 5-20 year horizons. These results are only slightly weaker for nominal returns than for real returns and prevail regardless of the period examined (1926-2011, 1951-2011, 1857-1925 or 1857-2011). I...

Pairs trading is a very common trading strategy, and being able to obtain parameters that tell us when to trade and when to get out is of great importance. In this paper I propose a methodology that can improve the performance of traditional pairs trading strategy. I use stochastic beam search...

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

In recent years, there has been a proliferation of alternatively weighted (“alternative beta”) indices, such as fundamentally weighted indices, equal-weighted indices and low-volatility indices. We have surveyed a broad range of alternative beta strategies that have gained significant...

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe's (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA...