Practical analysis for investment professionals

Derek Horstmeyer

22 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
Bonds and Fixed Income: Where’s the Hedge?

When have fixed-income assets actually done what portfolio managers and investors expect them to do?

Growth, Value, and Skewness: Are Growth Stocks a Lottery-Like Bet?

How does skewness in returns relate to other factors in asset pricing?

COVID-19 Correlations: Local Cases, Local Returns?

Do local COVID-19 case counts have any correlation with local stock returns?

Digital Gold or Fool’s Gold: Is Crypto Really a Hedge against Equity Risk?

When it comes to hedging equity risk, bitcoin and cryptocurrencies are less "digital gold" and more fool's gold.

How Sharp Is the Sharpe Ratio? An Analysis of Global Stock Indices

To test the Sharpe Ratio’s effectiveness, we constructed monthly return distributions for global stock market indices to see if any had too much skewness.

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?



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