Our Spring issue opens with Calandro’s discussion of the evolution of Graham and Dodd–based value investing. He also includes two potential developments: extending value investing concepts to corporate management and integrating insights derived from bottom-up fundamental analysis with those of complexity theory to inform margin-of-safety analysis. Although previous research has found that Graham’s net current asset value (NCAV) method produces exceptional risk-adjusted returns, Dudzinski updates those performance results, differentiating between upside and downside volatility.
Crook and Nick present an equity premium model based on cyclically adjusted S&P 500 Index earnings yield data and nominal Treasury bond data that have been adjusted by using the Cleveland Federal Reserve’s Index of Inflation expectations. Wang, Brooks, Lu, and Holzhauer examine the profitability of style momentum strategies on portfolios based on firm growth/value characteristics and market capitalization. Platt, Bolster, and Cai explore beta as a forecasting tool for individual security values, focusing on how and why beta-driven forecasts of future value are more accurate for some firms than for others. Tresl, Payne, and Karels analyze the health care industry and find that overweighting the U.S. equity portion of a portfolio toward health care generates greater returns, enhanced diversification, and positive alphas. Diavatopoulos, Geman, Thukral, and Wright examine whether a long–short weekly trading strategy based on mispricing among exchange-traded notes (ETNs) outperforms the S&P 500. Filbeck, Holzhauer, and Zhao study the effects of creating long-only and short-extension strategies using socially responsible rankings.
Our special section in this issue is on the latest developments in asset classes. We feature Tian’s discussion of contingent capital as an asset class in times of stress, Bhardwaj and Dunsby’s examination of commodity sectors during periods of economic interest, and Chu’s analysis of fine wine investing.
As always, we welcome your submissions. We value your comments and suggestions, so please contact us at journals@investmentresearch.org.
TOPICS: Exchange-traded funds and applications, fundamental equity analysis, financial crises and financial market history
Brian Bruce
Editor-in-Chief
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