New research papers related to existing strategies:
#16 – Mean Reversion Effect in Country Equity Indexes
Smith, Pantilei: Do 'Dogs of the World' Bark or Bite? Evaluating a Mean-Reversion-Based Investment Strategy
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2279246
Abstract:
Mean reversion in financial markets is commonly accepted as a powerful force. This paper examines the performance of a simple mean-reversion-based strategy — Dogs of the World — designed to take advantage of return reversals in national equity markets. Both a simulated application of the strategy using indexes since 1971 and application using single-country ETFs since 1997 produces higher compounded average returns than those of a comparable market index. Although the Dogs strategy also produces higher volatility than the index, the information ratio for the strategy suggests that the return more than compensates. An advantage of this strategy is that its implementation using single-country ETFs is straightforward and inexpensive.
#65 – Enhanced Value Premium
Hyde: An Emerging Markets Analysis of the Piotroski F Score
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2274516
Abstract:
We examine the F score in global emerging markets and show there is a meaningful premium attached to high F score stocks which is unrelated to the size, value and momentum premiums. It is larger for high value stocks, moderately higher for high momentum stocks and unrelated to stock size. This suggests the usual explanation for the power of the F score – investor neglect of high F score stocks – is incomplete because big cap and high momentum stocks are typically not neglected. We conjecture another factor shaping the premium to high F score stocks is the confirmation bias.
#5 – FX Carry Trade
Della Corte, Riddiough, Sarno: Currency Premia and Global Imbalances
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2280952
Abstract:
Global imbalances are a fundamental economic determinant of currency risk premia. We propose a factor that captures exposure to countries' external imbalances – termed the global imbalance risk factor – and show that it explains most of the cross-sectional variation in currency excess returns. The economic intuition of this factor is simple: net foreign debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances. Investment currencies load positively on the global imbalance factor while funding currencies load negatively, implying that carry trade investors are compensated for taking on global imbalance risk.
#31 – Market Seasonality Effect in World Equity Indexes
Sum: Stock Market Performance: High and Low Months
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2275061
Abstract:
This study analyzes stock market performance in 70 countries to determine which months generate higher returns and which months exhibit lower returns. Results from numerical analyses and t-tests show that returns are significantly higher in January, February, April, July and December relative to the other months of the year. Return in the month of September is the lowest compared to the rest of the months followed by returns in August, October, June, November, May and March, respectively. The findings seem to offer evidence of the other monthly anomalies (April and December anomalies, in this case) in addition to the January anomaly reported in the literature based on the analyses of market level data.
#2 – Asset Class Momentum – Rotational System
#118 – Time Series Momentum Effect
Du Plesis, Hallerbach, Spreij: Demystifying momentum: Time-series and cross-sectional momentum, volatility and dispersion
http://www.science.uva.nl/onderwijs/thesis/centraal/files/f233479199.pdf
Abstract:
Variations of several momentum strategies are examined in an asset-allocation setting as well as for a set of industry portfolios. Simple models of momentum returns are considered. The difference between time-series momentum and cross-sectional momentum, with particular regard to the sources of profit for each, is clarified both theoretically and empirically. Theoretical and empirical grounds for the efficacy of volatility weighting are provided and the relationship of momentum with cross-sectional dispersion and volatility is examined.
