Risk, Return, and PopularityRisk and Return Within the Stock Market: What Works Best?
By Roger G. Ibbotson, Ph.D. and Daniel Y.-J. Kim, Ph.D.
Studies the long-term risk vs. return characteristics of 21 return-predictive metrics as applied to the U.S. equity market. Contrary to the conventional wisdom on risk and reward, most portfolio sorting metrics exhibit an inverse risk-return relationship, with lower risk portfolios outperforming higher risk portfolios. A broad theme that emerges from the empirical evidence is that popularity underperforms.
Liquidity as an Investment Style
Liquidity Styles and Strategies in U.S., International, and Global Markets
The Liquidity Style of Mutual Funds
Historical Investment Fund PerformanceThe ABC’s of Hedge Funds: Alphas Betas, and Costs
By Roger G. Ibbotson, Ph.D. and Peng Chen, Ph.D., CFA
Analyzes the potential biases in reported hedge fund returns and then decomposes historically reported hedge fund performance in their three A,B,C components: alphas, betas and costs.
Offshore Hedge Funds: Survival & Performance 1989 – 1995
Do Winners Repeat with Style?
Examinations of Historical Equity ReturnsHistory and the Equity Risk Premium
By William N. Goetzmann and Roger G. Ibbotson
Summarizes past findings by the researchers’ and places them in the context of the historical development of the equity risk premium and its measure by financial economists. Also updates the researchers’ study of the historical performance of the NYSE since 1792. Momentum, Acceleration & Reversal
By James X. Xiong and Roger G. Ibbotson
Examines the impact of accelerated stock price increases on future performance. Accelerated stock price increases are a strong contributor to both poor future performance and a higher probability of reversals. It implies that accelerated growth is not sustainable and can lead to drops. The acceleration mechanism is also able to reconcile the well-documented 2-12 month momentum phenomenon and one-month reversal.
Stock Market Returns in the Long Run: Participating in the Real Economy
A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability
Asset AllocationHuman Capital, Asset Allocation, and Life Insurance
By Roger G. Ibbotson, Peng Chen, Moshe Milevsky, and Xingnong Zhu
Investigates the impact of human capital on asset allocation decisions