Studies of Investment Approaches and Characteristics Associated with Exceptional Returns Tweedy, Brown Abstract What has worked in Investing is an attempt to share with you Tweedy Brown’s knowledge of historically successful investment characteristics and approaches. Included in this booklet are descriptions of over 50 studies, approximately half of which relate to non – U.S. stocks....
An Examination of Empirical Data Associating Investment in High Dividend Yield Securities with Attractive Returns Over Long Measurement Periods Abstract In the pages that follow, Tweedy, Brown set forth a number of studies, largely from academia, analysing the importance of dividends, and the association of high dividend yields with attractive investment returns over long measurement...
How Tweedy, Brown Strives to Provide Value Above the Index Return Abstract Several studies over statistically significant lengths of time, such as 20 years or more, have indicated that most equity investment managers have failed to beat the Standard &Poor’s 500 Index. Before throwing in the towel and indexing your whole portfolio, it is important...
Brian Hurst, Yao Hua Ooi, and Heje Pedersen Abstract In this article, the authors study the performance of trend-following investing acrossglobal markets since 1880,extending the existing evidence by more than 100 years using a novel data set. They find that in each decade since1880, time series momentum has delivered positive average returns with low correlations...
Brandes Institute Abstract What happens when value and glamour stocks miss earnings expectation targets? Although, as expected, prices for glamour stocks have historically fallen, prices for value stocks have gone up – even when the business fundamentals deteriorated, based on results found in this study of global equities. These results suggest the superior returns delivered...
Warren Buffett The Oracle of Omaha explains why equities almost always beat the alternatives over time.
Charlie Munger A lesson on elementary worldly wisdom as it relates to investment management and business.
Joseph D. Piotroski Abstract This paper examines whether a simple accounting-based fundamental analysisstrategy,when applied to a broad portfolio of high book-to-market firms, canshift the distribution of returns earned by an investor. I show that the meanreturn earned by a high book-to-market investor can be increased by at least7.5% annually through the selection of financially strong...
William T. Ziemba Abstract The Kelly capital growth criterion, whichmaximizes the expected log of final wealth,provides the strategy that maximizes long runwealth growth asymptotically for repeatedinvestments over time. However, one drawbackis found in its very risky behaviour due to thelog’s essentially zero risk aversion;consequently,it tends to suggest large concentratedinvestments or bets that can lead to...
