Zebra Capital’s Featured Articles

Dimensions of Popularity

Journal of Portfolio Management, vol. 40, no. 5 (Special 40th Anniversary Issue, 2014), p. 68-74.
By Roger G. Ibbotson, Ph.D. and Thomas M. Idzorek

A broad exposition of the central role of popularity in asset pricing, arguing for the consideration of popularity outside of a standard risk framework and differentiating low-popularity equity strategies from low-volatility and low-beta strategies.

Popularity – A Bridge between Classical and Behavioral Finance

December, 2018
Roger G. Ibbotson, Thomas M. Idzorek, CFA, Paul D. Kaplan, CFA, and James X. Xiong, CFA

Why does value investing work? Why do other factor strategies work? For that matter, why does any active strategy—meaning, any strategy other than capitalization-weighted indexing—“work” in the sense of having a reasonable chance of beating the cap-weighted index other than by random variation? The answer could lie in classical finance, or behavioral finance, or both.

Protecting Your Retirement

Mitigating Market Risk With Insurance Solutions
December, 2020
By Roger G. Ibbotson, Ph.D.

Asset allocation and insurance can play a role in creating returns, mitigating risk, and providing income across our lifetime.  Asset allocation mixes including capital-protected annuities with a floor-design are illustrated, showing how stock, bond, and annuity combinations can potentially
enhance portfolio returns while mitigating losses.

Fixed Indexed Annuities: Consider the Alternative

January, 2018
Roger G. Ibbotson, Ph.D.

An FIA may be an attractive alternative to traditional fixed income options like bonds to accumulate financial assets (tax-deferred) prior to retirement.

NYSE® Zebra Edge® Index Research Note

January, 2019
John J. Holmgren, Jr., President and COO | Paul A. St. Pierre, Portfolio Management Analyst

The NYSE® Zebra Edge®​ Index was designed to leverage cutting-edge research in behavioral finance to avoid and exploit behavioral bias. The index seeks to generate higher returns with less risk.

Liquidity as an Investment Style: 2018 Update

February, 2018
By Roger G. Ibbotson, Ph.D. and Daniel Y.-J. Kim, Ph.D.

The latest version of “Liquidity as an Investment Style”, including updates of all empirical results to reflect additional U.S. market data.

The ABCs of Hedge Funds:  Alphas, Betas, & Costs

March, 2010
By Roger G. Ibbotson, Ph.D., Peng Chen, Ph.D., CFA and Kevin X. Zhu, Ph.D. 

We analyze the potential biases in reported hedge fund returns, in particular survivorship bias and backfill bias. We then decompose the returns into three components: the systematic market exposure (beta), the value added by hedge funds (alpha), and the hedge fund fees (costs). We analyze the performance of a universe of about 8,400 hedge funds from the TASS database from January 1995 through December 2009.

Momentum, Acceleration, And Reversal

Q1, 2015
James X. Xiong and Roger G. Ibbotson

This paper studies the impact of accelerated stock price increases on future performance. Accelerated stock price increases are a strong contributor to both poor future performance and a higher probability of reversals. It implies that accelerated growth is not sustainable and can lead to drops. The acceleration mechanism is also able to reconcile the well documented 2–12 month momentum phenomenon and 1-month reversal.

Kepler’s Absolute Hedge Research Website

Kepler’s marketing leading research website https://absolutehedge.com is free for allocators to use and helps to inform those who are interested in Alternative UCITS strategies.