We establish the existence of anomalous excess returns based on trend following strategies
across four asset classes (commodities, currencies, stock indices, bonds) and over very …

One of the pillars of modern finance theory is the concept of ‘risk premium’, ie that a more risky
investment should, on the long run, also be more profitable. The argument leading to such …

Environmental, social, and governance (ESG) information demands attention within the asset
management industry since it has become widely accepted that making an allowance for …

We provide further evidence that markets trend on the medium term (months) and mean-revert
on the long term (several years). Our results bolster Black's intuition that prices tend to be …

The authors advocate the use of agnostic allocation for the construction of long-only portfolios
of stocks. Agnostic allocation portfolios (AAPs) are a special member of a family of risk-…

Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample
diversification. In this note, we propose a new portfolio construction strategy based on symmetry …

That technology is reshaping the media and entertainment landscape goes without saying.
Digital devices are dramatically changing everything we do and every way we work today. …

Writing on behalf of the Society for the Protection of the English Language, the author
questions the frequent use of the term" suicide survivor" in describing the relatives or friends of …

Trading strategies that were profitable in the past often degrade with time. Since unlucky
streaks can also hit “healthy” strategies, how can one detect that something truly worrying is …

From Brexit to Trump, 2016 was a year of dramatic moves that shook up decades-long ways
of doing things. In another shake-up, The Independent national newspaper in Britain …