The Savvy Investor Research Team has curated a wide variety of excellent papers which seek to identify market anomalies that can be used to generate alpha. The research includes seasonal factors, mean-reversion, earning surprises, intra-day momentum, sentiment indicators, size factors, buyback anomalies and technical analysis.
Academic research listed in our third paper below suggests that, even after publication, these anomalies can still generate alpha.
Here is a flavour of some of our papers - do click through to see more:
In this hugely influential 2013 paper, Mebane Faber provides an update to his white paper published in 2006, titled: “A Quantitative Approach to Tactical Asset Allocation” with fresh insights from 2008-2012. Overall, Faber finds that the models perform well in practice, with equity like returns achieved alongside bond like volatility and drawdowns.
This paper from 361 Capital argues that mean reversion in the short term is a reliably profitable strategy with little correlation to other risk factors. The study examines the perseverance of the mean reversion anomaly, the evidence displaying short term mean reversion within U.S. stocks, and the factor exposures connected with a market neural mean reversion portfolio.
Is it worth continuing to pursue pricing anomalies after they have been publicly revealed? The authors of this report study the post-publication and out-of-sample return-predictability of differing 82 characteristics that have been identified in academic studies.