Asset Allocation and TAA

Learning from the Long-Run: the Top 10 Papers on Financial Market History

History never repeats, but it "rhymes"….

The CFA Institute Research Foundation has recently published an "epic" compendium of papers which provide investors with some fascinating insights into a range of financial market issues.

Inspired by this, The Savvy Research team has selected the "top ten" papers on financial market history, each drawing on ultra-long run data. There are some fantastic nuggets here!

St Pauls London financial markets history white papers

Financial Market History: Reflections on the Past for Investors Today (CFA Institute Research Foundation, 2016)
This 279-page book, published by CFA Institute Research Foundation, provides a detailed, varied and fascinating look at the history of financial markets.

Low Volatility in historical perspective: Fund investing since 1774 (Robeco)
This paper examines more than two centuries of data to gain valuable insights into the low volatility risk factor. This includes the conclusion that the root cause of the low-risk anomaly is the modern era's focus on relative performance.

Equity/Bond Correlation: History and Future Prospects (BlackRock, July 2016)
In this 6-page paper, BlackRock's Nuno Luis (Associate) and David Caplan (Quant Researcher) examine the history of the equity/bond correlation and discuss the likely future path.

Long-Term Asset Returns (CFA Institute Research Foundation, 2016)
This paper by Dimson, Marsh and Staunton provides a helpful summary of the long-run global historical evidence on the returns from bonds, stocks, bonds, exchange rates, and bills, all adjusted for inflation for the years since 1900.

Analyzing Valuation Measures: Performance over the Past 40 Years (2012)
It's a basic research question: Which valuation metric has historically performed the best? This paper by Gray and Bogel provides some analysis.

Financial History Databases: Old Data, Old Issues, New Insights? (CFA Institute Research Foundation, 2016)
This paper by Annaert, Buelens and Riva highlights the potential flaws historical financial data sets might hold. It explores the data items needed to construct equity and bond market indices as well as the consequences of omitting them.

Long run asset class performance: 30-year return forecasts (2016–45) Schroders
This paper outlines the methodology used by Schroders Economics Group to produce its annual 30-year return forecasts.

FX Markets and Currency Speculation: Historical Perspectives (CFA Institute Research Foundation, 2016)
This paper by Olivier Accominotti presents a short history of currency speculation and examines returns over the long term.

A Century of Evidence on Trend-Following Investing (AQR, 2012)
This paper by AQR Capital Management details the performance of trend-following investing across international markets since the early 1900s.

Bubble Investing: Learning from History (CFA Institute Research Foundation, 2016)
In this paper, William N. Goetzmann examines the frequency of large and unexpected increases in market value in a broad panel of global equity market data from the early 1900s.

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