Is professional investing a loser's game? Many studies were conducted to answer this question. In developed markets most of the studies conclude that professional investors are unable to beat the market or expectations of the investors. These results led to the creation of large passive...

Factor exposures exhibit alpha across countries, not just within countries, and momentum and valuation factors generate the greatest outperformance. These factors exhibit low correlations to each other, creating valuable diversification opportunities for portfolio managers. Long-only multi-style...

We study time-series momentum (trend-following) strategies in bonds, commodities, currencies and equity indices between 1960 and 2015. We find that momentum strategies performed consistently both before and after 1985, periods which were marked by strong bear and bull markets in bonds...

This paper revisits the question of whether investors can benefit from consensus recommendations of stock market analysts in US equity markets. To examine the profitability net of transactions cost, we calculate transactions cost based on effective tick spread. We find that transactions cost...

The weak value-growth premium of the Spanish stock market highlights the importance of enhancing the accounting-based fundamental strength of the value-growth strategy. This accounting strength is needed to detect potential errors in market expectations that result in mispriced stocks. When we...

We consider two forms of volatility weighting (own volatility and underlying asset volatility) applied to cross-sectional and time-series momentum strategies. We present some simple theoretical results for the Sharpe ratios of weighted strategies and show empirical results for momentum...

This paper examines the advantages of incorporating strategic exposure to equity volatility into the investment-opportunity set of a long-term equity investor. We consider two standard volatility investments: implied volatility and volatility risk premium strategies. To calibrate and assess the...