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Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016

This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...

Persistent link: https://www.econbiz.de/10011553310

The acceleration effect and gamma factor in asset pricing

Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

Persistent link: https://www.econbiz.de/10011411974

The search for time-series predictability-based anomalies

Ospina-Holguín, Javier Humberto; Padilla-Ospina, Ana Milena - In: Journal of business economics and management 23 (2022) 1, pp. 1-19

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...

Persistent link: https://www.econbiz.de/10013258451

Long-Term Investors and Valuation-Based Asset Allocation

Pfau, Wade D. - 2015

Valuation-based market timing demonstrates strong potential to improve risk-adjusted returns for conservative long-term investors. Such timing strategies based on the cyclically-adjusted price-earnings ratio provide comparable returns as a 100 percent stocks buy-and-hold strategy but with...

Persistent link: https://www.econbiz.de/10013031129

Investment Horizon and the Attractiveness of Investment Strategies : A Behavioral Approach

Dierkes, Maik - 2010

Theory cannot explain the attractiveness of empirically observed strategies, we apply a behavioral approach instead. In … particular, we assess attractiveness from the viewpoint of an investor with preferences described by Cumulative Prospect Theory … (CPT), currently the most prominent descriptive theory for decision making under uncertainty. A bootstrap technique is …

Persistent link: https://www.econbiz.de/10013150953

What's in the News? Using News Sentiment Momentum for Tactical Asset Allocation

Uhl, Matthias - 2019

News and sentiment in news often influence financial markets and asset prices. While this is well-recognized by investors, only few studies have used sentiment in news to predict future developments in financial markets to formulate alpha generating strategies, let alone create a best practice...

Persistent link: https://www.econbiz.de/10012904742

If George Costanza Were a Hedge Fund Manager

White, James - 2019

Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...

Persistent link: https://www.econbiz.de/10012894939

Want Smart Beta? Follow the Smart Money : Market and Factor Timing Using Relative Sentiment

Micaletti, Raymond - 2019

We present a real-time, cross-asset, positions-based relative sentiment indicator to predict the U.S. equity market. Derived from the Commitments of Traders report, the indicator measures — in a novel way — the aggregate positioning in equities of institutional investors relative to...

Persistent link: https://www.econbiz.de/10012899545

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

Relative Sentiment and Machine Learning for Tactical Asset Allocation

Micaletti, Raymond - 2020

We examine Sentix sentiment indices for use in tactical asset allocation. In particular, we construct monthly relative sentiment factors for the U.S., Europe, Japan, and Asia ex-Japan by taking the difference in 6-month economic expectations between each region's institutional and individual...

Persistent link: https://www.econbiz.de/10012847162

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