We estimate a hidden turnover cost of about 20 basis points per year for investors tracking the S&P 500.
Analysis of the correlation structure between futures markets, S&P 500 stocks and trend-following strategies over the past 50 years.
Randomly selected global equity portfolios have outperformed market-capitalisation-weighted portfolios over the past 15 years.
Without an appropriate understanding of data, it can be too easy to discover fool’s gold.
Often tracking error is incorrectly defined ‒ with important consequences.
We caution against drawing conclusions from short time series and emphasise the importance of acknowledging the uncertainty on performance estimates.
We put the recent fall in US equity volatility into context.
Publication bias could have a part to play in the disappointing performance of popular equity indicators.
We find hidden costs of about 10 basis points per year for the naïve global index tracker.
October has been the most volatile month for stocks on average over the past 87 years. Is this due to chance?
Does globalisation mean that stock returns are related more to sector than country performance?
Our research explores alternative approaches for assigning sectors to the S&P 500 using stock price covariance and natural language processing.