Our study assesses the performance of portfolios formed using out-of-sample sector forecasts and past firm fundamental ratios. Portfolio allocations based on profitability measures - gross profit, operating pro fit, and EBITDA - generate performance substantially better than the benchmark....

In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...

Student managed portfolios offer a practical learning environment but often miss opportunities for outperformance. We provide several recommendations for structuring fund trades to enhance the pedagogical experience for the students in addition to generating alpha. A strategy that targets mid...

What predicts returns on assets with "hard-to-value" fundamentals, such as Bitcoin and stocks in new industries? We propose an equilibrium model that shows how rational learning enables return predictability through technical analysis. We document that ratios of prices to their moving averages...