Uma investigação (via aqui) entre pesquisas acadêmicas do passado mostrou que muitas estratégias de investimento não se sustenta. De 46 variáveis analisadas, somente cinco conseguiram um desempenho adequado:
Looking at the table below, the variables that were found to remain statistically significant on the extended dataset were those with the fewest citations and likely less well known among market participants.
Fourth-Quarter Growth Rate in Personal Consumption Expenditures (gpce): This macroeconomic variable from researchers Møller and Rangvid posits that high personal consumption growth rates at the end of the year predicts poor stock-market gains in the following year. The researchers found it to be the best, and most consistent, variable in the investment strategies. It outperformed a buy-and-hold approach with three of the four strategies tested. However, the outperformance was only marginal.
Aggregate Accruals (accru): This is a sentiment-based variable introduced by Hirshleifer, Hou and Teoh and uses aggressive corporate accounting to predict future stock returns — more aggressive accruals lead to lower future returns. The variable also marginally beat buy-and-hold returns in three out of four approaches. Most of its performance came from its prediction of the post-tech market crash in 2000-2002.
Credit Standards (crdstd): This is another macroeconomic variable and was introduced by Chava, Gallmeyer and Park. It finds that optimistic (loose) credit standards predict poor market returns and comes from survey data by the Fed. This variable did well in the researchers’ investment strategies and had good performance on test sample data, but statistical measures of the variable on the training sample data were not as convincing and much of its performance comes from the first four years in that sample.
The Investment Capital Ratio (i/k): This a financial ratio introduced by Cochrane all the way back in 1991 and was also included in the 2008 paper from Goyal and Welch. It posits that high capital investment in the current quarter predicts poor stock-market returns in the next quarter. While it was a poor predictor from 1975 to 1998, it has since improved performance yet was not able to outperform a buy-and-hold strategy in three of four of the researchers’ timing strategies.
Treasury-bill Rates (tbl): This is another variable examined in the 2008 paper. It does well statistically but had poor performance in the investment strategies.
Uma das razões para o desempenho fraco das sugestões das pesquisas é que quando as medidas se tornam conhecidas pelos profissionais, a vantagem deixa de existir.
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