2 papers
q-fin.GN2018
The Rank Effect
Ricardo T. Fernholz, Christoffer Koch
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked asset…
q-fin.GN2016
The Rank Effect for Commodities
Ricardo T. Fernholz, Christoffer Koch
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arb…