Popularity, Risk, and Return

Risk and Return Within the Stock Market: What Works Best? (2017 Update)
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 from 1971 to 2016. 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.

Dimensions of Popularity
Journal of Portfolio Management, vol. 40, no. 5 (Special 40th Anniversary Issue, 2014), p. 68-74.
By Roger G. Ibbotson, Ph.D. and Thomas M. Idzorek
A broad exposition of the central role of popularity in asset pricing, arguing for the consideration of popularity outside of a standard risk framework, and differentiating low-popularity equity strategies from low-volatility and low-beta strategies.

Liquidity as an Investment Style

Liquidity as an Investment Style: 2017 Update
By Roger G. Ibbotson, Ph.D. and Daniel Y.-J. Kim, Ph.D. 
The latest version of "Liquidity as an Investment Style," including updates of all empirical results to reflect additional U.S. market data through December 2016.

CFA Institute Names Top Financial Analysts Journal Articles with Annual Graham and Dodd Awards
Press Release, CFA Institute, Feb. 2014.
Names "Liquidity as an Investment Style" as the Top Award winner of 2013. Includes a clickable link to download the published paper, free of charge, from the Financial Analysts Journal website.

Liquidity as an Investment Style
Financial Analysts Journal, vol. 69, no. 3 (May/June 2013), p. 30-44.
By Roger G. Ibbotson, Ph.D., Zhiwu Chen, Ph.D., Daniel Y.-J. Kim, Ph.D., and Wendy Hu, Ph.D. 
Using long-term empirical data from U.S. equity markets, this paper presents comprehensive evidence that liquidity, as measured by share turnover, is indeed an investment style as defined by Sharpe (1978) and should be included as a control in cross-sectional studies of stock returns.
This research paper represents the Firm’s founders’ first research into liquidity in the public equity markets and serves as the underpinnings for the development of Liquidity Strategies.

Additional Liquidity Research

The Liquidity Style of Mutual Funds
By Thomas Idzorek, James Xiong, Ph.D., and Roger Ibbotson, Ph.D.
Expands upon Ibbotson, Chen, Kim, and Hu's initial findings and examines whether liquidity premium can be uncovered not just at the stock level, but at the mutual fund level. Finds that mutual funds that hold less liquid stocks significantly outperform mutual funds that hold more liquid stocks, even though mutual fund managers do not directly focus on liquidity. 

Liquidity Styles and Strategies in U.S., International, and Global Markets
By Roger G. Ibbotson, Ph.D., Wendy Y. Hu, Ph.D.
Expands upon the study of the U.S. stocks of the “Liquidity as an Investment Style” paper to include global and international markets. Finds that liquidity strategies work all around the world and provide downside protection in all the markets.

Historical Investment Fund Performance

The 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
By Stephen J. Brown, William N. Goetzmann, and Roger G. Ibbotson
Examines the performance of the off-shore hedge fund industry from 1989-1995.

Do Winners Repeat with Style?
By Roger G. Ibbotson and Amita K. Patel
Examines the persistence of mutual fund performance, after adjusting for the investment style of the fund

Examinations of Historical Equity Returns

History 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
By Roger G. Ibbotson, Ph.D. and Peng Chen, Ph.D., CFA
Estimates forward-looking long-term equity risk by extrapolating its participation in the real economy.  Decomposes historical equity returns from 1926-2000 into factors including inflation, earnings, dividends, P/E, dividend payout ratio, book value, ROE, and GDP per capita.

A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability
By William N. Goetzmann, Roger G. Ibbotson, and Liang Peng
Estimates a historical stock price index that extends to the beginning of the NYSE

Asset Allocation

Human 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

ZCM Researchers

Roger Ibbotson at the Yale School of Management

Roger Ibbotson at Google Scholar

Daniel Kim at Google Scholar

ZCM Research in the News

3/2016: Pensions & Investments

1/2016: Pensions & Investments

6/2015: Seeking Alpha

4/2015: Pensions & Investments

4/2015: ValueWalk

4/2015: Investment Adviser

3/2015: Morningstar

3/2015: Seeking Alpha

3/2015: Cash [DE]

3/2015: Finanzen.net [DE]

3/2015: TheStreet.com

3/2015: Money Magazine

3/2015: Morningstar [IT]

3/2015: Morningstar [FI]

3/2015: Fondsnieuws [NL]

2/2015: Funds Society [ES]

2/2015: The Motley Fool

2/2015: Funds Society [ES]

2/2015: TheStreet.com

2/2015: Manager Magazin [DE]

2/2015: Funds People [ES]

1/2015: The Economist

1/2015: Consumer Reports

12/2014: Funds People [ES]

12/2014: The Motley Fool

12/2014: Wall Street Journal Americas [ES]

11/2014: Wall Street Journal

11/2014: Pensions & Investments

11/2014: ThinkAdvisor

10/2014: ETF.com

10/2014: Funds Society [ES]

10/2014: ETF.com

10/2014: ETF.com

9/2014: Morningstar.com

8/2014: Le nouvel Economiste [FR]

7/2014: Gulf News

7/2014: Financial Times

7/2014: MoneyWeek

5/2014: The Globe and Mail

5/2014: TheStreet.com

4/2014: Pensions & Investments (1)

4/2014: Pensions & Investments (2)

2/2014: CFA Institute

Research Presentations

6/2015: International Centre for Pension Management, Toronto

6/2015: Niagara Institutional Dialogue, Niagara-on-the-Lake, ON

5/2015: Nomura Global Quantitative Investment Strategies Conference, New York

5/2015: FTSE World Investment Forum, Newport Coast, CA

4/2015: UBS Equities Quantitative Investment Series, New York

4/2015: MSCI Research Seminar, New York

3/2015: Morningstar Institutional Conference Pan-European Event, Amsterdam

3/2015: Morningstar Institutional Conference, Phoenix

10/2014: CFA Society Montréal

10/2014: CFA Society Toronto

7/2014: CFA Institute: 2014 Financial Analysts Seminar, Chicago

6/2014: Uhlenbruch Jahrestagung Portfoliomanagement, Frankfurt

6/2014: CFA Society Frankfurt

5/2014: FTSE World Investment Forum, Sea Island, GA

4/2014: Liquid Alternative Strategies West, San Francisco


Yale School of Management

Yale School of Management – International Center for Finance

Ibbotson Associates