Ibbotson Founds Hedge Fund Based On Trading Volume

Jun 15 2010 | 1:21am ET

Well-known stock analyst Roger Ibbotson has launched a hedge fund designed to profit from lesser-known stocks.

Ibbotson, founder of Ibbotson Associates who now serves as a finance professor at Yale University, said his research shows that stocks with high volumes of trading consistently underperform the broader markets.

“Stocks with high trading volumes tend to be the glamour companies that get overpriced,” he told TheStreet.com. “Stocks with low volumes are not in the news, and they tend to sell at discounts.” Further focusing on low-volume stocks with high earnings produced an annualized return over the past 34 years of 15.1%.

That strategy is the backbone of the new Zebra Global Liquidity Arbitrage Fund—as well as two new mutual funds. But where the latter will take only long positions in low-volume, high-earnings stocks, the hedge fund will put only half of its money in the strategy.

The other half of the fund’s assets will short stocks with the opposite characteristics.

“We are shorting hot stocks that are fundamentally weak,” Ibbotson said.

The hedge fund will have a minimum investment requirement of $1 million.

Ibbotson sold his eponymous research firm to Morningstar in 2006.


In Depth

Q&A: Quad Advisors’ Borish Is Looking For Real Traders, Not Index Huggers

Aug 20 2014 | 1:43pm ET

Peter Borish, who served as founding partner and director of research at Tudor Investment...

Lifestyle

Viking Manager In Rent Dispute

Aug 11 2014 | 4:14am ET

A hedge fund manager is demanding most of his money back from his former landlord...

Guest Contributor

Majority Of Inflows Go To Brand Name Hedge Funds

Aug 12 2014 | 9:00am ET

Since the market correction of 2008, a vast majority of hedge fund net asset flows...

 

Editor's Note

 

Futures Magazine

PREVIEW July/August 2014 Cover

Inside Futures' 500th Issue

The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.

The Alpha Pages

TAP July/August 2014 Cover

Real talk on alternative investments, business & finance

The Alpha Pages Editor's Note