Practical analysis for investment professionals

Derek Horstmeyer

33 Posts

Biography

Derek Horstmeyer is a professor at George Mason University School of Business, specializing in exchange-traded fund (ETF) and mutual fund performance. He currently serves as Director of the new Financial Planning and Wealth Management major at George Mason and founded the first student-managed investment fund at GMU.

Author's Posts
Does a Stock’s Price Influence Its Risk Profile?

As a stock falls in value, it becomes more sensitive to market movements and its total volatility increases.

Decoupling Correlations: Global Markets since COVID-19

An examination of global stock market indices since 2015 reveals one clear takeaway: Every single index's average correlation with all other indices has fallen.

How Do Performance Metrics Correlate? Might Fund Managers Cherry-Pick?

With various performance metrics to choose among, might fund managers be tempted to cherry-pick those that reflect most favorably on their performance?

Fed Chair Congressional Testimony: Has the Market Played Favorites?

How have the markets responded to congressional testimony from recent Fed chairs? Have they shown a preference or distaste for any one in particular?

A US GDP-Weighted Index?

How would an index constructed at the US country level that weights holdings by each sector's underlying GDP compare to the S&P 500 in terms of risk and performance?

Do Sentiment Metrics Matter to the Markets?

How much correlation is there between consumer and business sentiment metrics and market returns?

Do the Best Equity Fund Managers Follow the Bond Market?

A fund family's success with bond funds may not translate to the equity side of the ledger.

Can Tracking Error Boost Index Funds’ After-Tax Returns?

Do index funds with lower tracking error have better or worse post-tax performance?

Bitcoin Mining and Local Stock Market Performance Correlations

Is there a relationship between where bitcoin is mined and how the performance of the local equity markets correlates with bitcoin prices?

Short Squeezes: A Four-Factor Model

To determine whether a stock might become the target of a short squeeze, there are four criteria to keep in mind.