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.
When have fixed-income assets actually done what portfolio managers and investors expect them to do?
How does skewness in returns relate to other factors in asset pricing?
Do local COVID-19 case counts have any correlation with local stock returns?
When it comes to hedging equity risk, bitcoin and cryptocurrencies are less "digital gold" and more fool's gold.
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.
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 trading's explicit costs have plummeted to near zero, but what about implied transaction costs?
How have moving averages performed as an investment strategy over the decades?
How well has Fama and French's five-factor model explained returns?
How have correlations between the Shanghai Composite Index and the Hang Seng and their global counterparts developed over the last 25 years?