1/ Can Momentum Investing Be Saved? (Arnott, Kalesnik, Kose, Wu)
"Live results for mutual funds that take on a momentum factor loading are surprisingly weak. But momentum can probably be saved, even net of fees and trading costs."
2/ "A momentum strategy is very vulnerable to crashes that tend to occur when the momentum trade is relatively expensive and in periods of heightened volatility. Its performance has also shown dismayingly high global correlation—especially during the crashes—since about 1999."
3/ "Momentum dominates everywhere except Japan. Since being documented in US stocks, the effect has also been documented in many other asset classes. So on paper, momentum looks fantastic!
"Sadly, live results net of trading costs hint at trouble for momentum investors."
1/ Best Strategies for Inflationary Times (Neville, Draaisma, Funnell, Harvey, Hemert)
"Unexpected inflation is bad for bonds and equities, with local inflation mattering most, while commodities and futures trend following performance is strong."
2/ Inflationary regimes are when:
* YOY CPI ≥ 5% and is above 50% of its highest level over the past 24 months, OR
* YOY CPI ≥ 2%, is below 50% of its highest level over the past 24 months, then re-accelerates to ≥ 5%
* Episode length ≥ 6 months
B/M (market values updated monthly; financials and small stocks excluded)
Industry-adjusted B/M
Negative of five-year spot return (commodities, bonds)
Five-year change in ten-year yield (bonds)
Five-year change in relative PPP (currencies)
3/ "Value spreads in stocks, industries, commodities and equity indexes correlate strongly and positively with each other.
"The first PC explains 51% of total variation. The correlation between a simple across-asset-class average of the value spreads and the first PC is 0.95."
1/ The Man Who Knew: The Life and Times of Alan Greenspan (Sebastian Mallaby)
"He was a conservative who could advocate tax hikes, a libertarian who repeatedly supported bailouts, an economist who often behaved more like a Washington tactician." (p. 6)
2/ "Much of the post-crisis commentary has reduced Greenspan to a caricature. He is accused of believing blindly in models. He was, in fact, a leading skeptic of them. He is blamed for underestimating the propensity of financial systems to run wild.
3/ "He had, in fact, spent fifty years warning of treacherous credit cycles.
"A man who embraces the gold standard and then presides over the financial printing press is surely no simple ideologue." (p. 6)
1/ The Closed-End Funds Puzzle: A Survey Review (Charrón)
"So far, none of the possible explanations from either traditional finance or behavioral finance has been able to fully account for the occurrence of the CEF puzzle."
2/ "Discounts are subject to wide variations over time and across funds. The fluctuations appear to be mean-reverting and highly correlated. When merger, liquidation, or conversion to open-end fund terminates a closed-end fund, prices tend to converge to reported NAVs."
3/ "Malkiel finds a positive relationship between discounts and unrealized appreciation and restricted stocks. Funds with higher liquidity, have higher premiums or lower discounts.
"On the other hand, Lee et al. showed that restricted holdings could not explain the discount."