Practical analysis for investment professionals

Derek Horstmeyer

17 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
Portfolio Diversification: Harder Than It Used to Be?

Ever-greater access to world equity markets should have made it easier for investors to build and harvest the benefits of diversified global stock portfolios. But has it really?

Options Markets: How Far Have Implied Transaction Costs Fallen?

Options trading's explicit costs have plummeted to near zero, but what about implied transaction costs?

Technical Analysis Revisited: Moving Averages = Above Average Returns?

How have moving averages performed as an investment strategy over the decades?

Fama and French: The Five-Factor Model Revisited

How well has Fama and French's five-factor model explained returns?

Chinese and World Stock Market Co-Movements: Two Findings

How have correlations between the Shanghai Composite Index and the Hang Seng and their global counterparts developed over the last 25 years?

Revisiting Beta: How Well Has Beta Predicted Returns?

Are CAPM and beta effective predictors of future returns?

Meme Stocks and Systematic Risk

How do meme stocks move relative to stock market indices and other meme stocks?

Low- or High-Volatility: Which Wins the Return Battle?

Are low-volatility or high-volatility strategies the better choice when it comes to equity returns?

Fixed-Income Allocations: Where To?

How should investors shift their fixed-income portfolios amid the US economic recovery?

SPACs: An Uncorrelated Asset Class?

Do special-purpose acquisition companies (SPACs) offer any diversification benefits?