I propose a turnover-adjusted momentum strategy and argue that it is more profitable and stable compared to the momentum strategy proposed by Jegadeesh and Titman (1993). Stocks are sorted by the moving standard deviation of the product of "share turnover ratio" and "returns without dividends"...

A combination of simple moving average (MA) trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared to buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted...

Despite popular belief, bond and stock investors are not opposites. Stock investors can apply bond strategies to safeguard returns. And bond investors can do better using a stock selection strategy designed to improve the portfolio's income distribution. This book will teach you to look at...

Institutional Investors - Typologies, Roles and Products: Institutional Investors -- Collective Investment Vehicles and Other Asset Management Products -- Investment Management Policy: The Stages of Investment Management Policy -- Strategic Asset Allocation with Mean-Variance Optimisation --...

Introduction; Stephen Satchell -- 1) Performance of UK equity unit trusts; G Quigley and R A Sinquefield -- 2) A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction; S Satchell and A Scowcroft -- 3) Tracking error: Ex ante versus ex post...