We study the portfolio performance of investment strategies that jointly apply both fundamental analysis and technical analysis. Compared with strategies that rely on one-dimensional fundamental or technical information, the integrated approach to fundamental and technical investing...

The literature on gold is dominated by empirical studies on its diversification, hedging, and safe haven properties. In contrast, the question “When to invest in gold?” is generally not analyzed in much detail. We test more than 4,000 seasonal, technical, and fundamental timing strategies...

We study sell-side analysts' motives to diversify their portfolios across industries. Despite the negative association between diversification and accuracy, over 60% of analysts cover multiple industries. We argue that analysts' choice to diversify is rooted in concerns about future job...

A wide range of research has suggested that informed trading in options markets may effectively signal subsequent changes in equity prices. In this paper, we analyze the performance of long/short strategies based on a number of signals from options markets.In addition, we create an easily...

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

This paper introduces a large scale simulation framework for evaluating hedge funds' investments subject to the realistic constraints of institutional investors. The method is customizable to the preferences and constraints of individual investors, including investment objectives, performance...

The underlying concept behind the technical trading indicators based on moving averages of prices has remained unaltered for more than half of a century. The development in this field has consisted in proposing new ad-hoc rules and using more elaborate types of moving averages in the existing...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...

A diverse set of measures allows investors to evaluate hedge fund portfolio managers' performance across different dimensions. The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark...

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions do not yield satisfactory empirical results. We argue...