RT Journal Article
SR Electronic
T1 Evidence of Momentum in Newsletter<br/>Recommendations
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 96
OP 107
DO 10.3905/jai.2013.16.2.096
VO 16
IS 2
A1 George Crawford
A1 Alex Krause
A1 Jim Kyung-Soo Liew
YR 2013
UL https://pm-research.com/content/16/2/96.abstract
AB The authors study a database of investment newsletter performance since 1980, and find that the top newsletters consistently outperform the bottom newsletters when a one- to six-month look-back period is employed. They find that dynamically allocating to “winning” newsletter recommendations and shorting “losing” newsletter recommendations is both economically and statistically significant. The long/short quintile sorted portfolios employing prior monthly returns from newsletters, generating gross-of-cost annualized returns of 11.1% with t-statistics of 2.94. Notably, this positive performance comes packaged with a negative and statistically significant CAPM’s beta the “holy-grail” investment strategy. Moreover, this relationship of negative CAPM’s beta coupled with positive Jensen’s Alpha has persisted over many years. These results extend the growing body of momentum literature to include newsletter investing.TOPICS: Security analysis and valuation, analysis of individual factors/risk premia, information providers/credit ratings, performance measurement