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Research

We are committed to research. Here we share some of our insights related to the major issues in financial markets today.

Latest Research

October 2016

There is evidence that consensus analyst forecasts of earnings are biased: the more extreme forecasts are too extreme. As markets tend to price stocks in a manner consistent with these forecasts, an investment strategy can be designed to exploit this bias.

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August 2016

Investors often perceive trend-following as a way to mitigate the impact of market downturns on their portfolios as the strategy can profit from strong, downward price trends. But this is not always the case as recent selloffs have shown.

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July 2016

Whether driven by trading algorithms, liquidity issues or simple panic, many market participants buy as the price surges or sell during market crashes, rushing together for the exit. A simple trend-following system shares this behaviour, but setting limits on daily trading curtails the response to large price movements. Do these limits damage profits?

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April 2016

Fixed income trend following strategies have benefited over the past 35 years from the combination of a general downwards drift in interest rates and a positive roll yield.

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March 2016

We compare the history of 32 assets and investment strategies, and present two figures. We first show the classic chart of individual asset volatilities and returns; this is then contrasted with a second figure demonstrating their impact when added to a traditional stock/bond portfolio.

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February 2016

Since the Global Financial Crisis we have witnessed a number of sudden market "corrections" or "dislocations". These have cast a spotlight on the supply and demand of liquidity in financial markets.

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January 2016

Does globalisation mean that the performance of a company is related to that of its sector more than its country? We measure the contributions of sector and country factors to the returns of the constituents of the MSCI World index.

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November 2015

October has been the most volatile month for stocks on average over the last 87 years. Is this result purely due to chance, or should we take it seriously and expect it to continue into the future?

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