We examine the evidence that expected security returns can be forecasted by the term premium,
default premium, and dividend yield, in light of recent findings that similar security return …

We provide evidence on the role of commodity futures in portfolios comprised of stocks,
bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz …

We extend earlier studies and present new evidence on the benefits of adding precious
metals to US equity portfolios. We report five major findings related to the potential benefits of …

The purpose of this analysis is to present new evidence on the benefits of tactically allocating
commodity futures to otherwise diversified portfolios. The study contributes in three …

Firm size and price-to-book-value ratio are prominent measures in explaining cross-sectional
stock returns. Historically, average returns on shares of small-capitalization firms and low …

With the recent increase in equity volatility, commodity investments have garnered significant
attention from investors. Previous research has found substantial benefits associated with …

The limited life span of individual futures contracts complicates the testing of academic
hypotheses as well as the implementation of trading rules in futures

Ample evidence shows that size and book‐to‐market equity explain significant cross‐sectional
variation in stock returns, whereas beta explains little or none of the variation. Recent …

We investigate the efficacy of a sector rotation strategy that utilizes an easily observable
signal based on monetary conditions. Using 33 years of data, we find that the rotation strategy …

Recent evidence confirms that in factor-model examinations of the cross-section of REIT
returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of …