Zebra Capital Management: Our Research

Liquidity

Liquidity as an Investment Style
By Roger G. Ibbotson, Ph.D., Zhiwu Chen, Ph.D., and Wendy Y. Hu, PhD.
Updated April 2011
Demostrates that liquidity is separate from size, value/growth and momentum, but is at least as powerful as a predictor of returns. This working research paper represents the Firm’s founders’ first research into liquidity in the public equity markets and serves as the underpinnings for the development of Liquidity Strategies.

Liquidity Styles and Strategies in U.S., International, and Global Markets
By Roger G. Ibbotson, Ph.D., Wendy Y. Hu, Ph.D.
Expands upon the study of the U.S. stocks of the “Liquidity as an Investment Style” paper to include global and international markets. Finds that liquidity strategies work all around the world and provide downside protection in all the markets.

The Liquidity Style of Mutual Funds
By Thomas Idzorek, James Xiong, and Roger Ibbotson, Ph.D.
Expands upon Ibbotson and Chen's initial findings and examines whether liquidity premium can be uncovered not just at the stock level, but at the mutual fund level. Finds that mutual funds that hold less liquid stocks significantly outperform mutual funds that hold more liquid stocks, even though mutual fund managers do not directly focus on liquidity.

Liquidity as an Investment Strategy
By Zhiwu Chen, Ph.D., Roger G. Ibbotson, Ph.D., and Wendy Y. Hu, Ph.D
Updated April 2011
Develops the Liquidity Style into attractive investable strategies, by combining liquidity with market cap, and/or earnings. Shows that the Earnings-Based Liquidity Strategy offers a higher return and a better risk-return tradeoff than classic earnings weighted and market cap weighted strategies. Explains the superior performance of the liquidity strategies from equilibrium, macro, and micro perspectives.

Historical Investment Fund Performance

The ABC’s of Hedge Funds: Alphas Betas, and Costs
By Roger G. Ibbotson, Ph.D. and Peng Chen, Ph.D., CFA
Analyzes the potential biases in reported hedge fund returns and then decomposes historically reported hedge fund performance in their three A,B,C components: alphas, betas and costs.

Offshore Hedge Funds: Survival & Performance 1989 – 1995
By Stephen J. Brown, William N. Goetzmann, and Roger G. Ibbotson
Examines the performance of the off-shore hedge fund industry from 1989-1995.

Do Winners Repeat with Style?
By Roger G. Ibbotson and Amita K. Patel
Examines the persistence of mutual fund performance, after adjusting for the investment style of the fund

Examinations of Historical Equity Returns

History and the Equity Risk Premium
By William N. Goetzmann and Roger G. Ibbotson
Summarizes past findings by the researchers’ and places them in the context of the historical development of the equity risk premium and its measure by financial economists. Also updates the researchers’ study of the historical performance of the NYSE since 1792.

Stock Market Returns in the Long Run: Participating in the Real Economy
By Roger G. Ibbotson, Ph.D. and Peng Chen, Ph.D., CFA
Estimates forward-looking long-term equity risk by extrapolating its participation in the real economy. Decomposes historical equity returns from 1926-2000 into factors including inflation, earnings, dividends, P/E, dividend payout ratio, book value, ROE, and GDP per capita.

A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability
By William N. Goetzmann, Roger G. Ibbotson, and Liang Peng
Estimates a historical stock price index that extends to the beginning of the NYSE

Asset Allocation

Human Capital, Asset Allocation, and Life Insurance
By Roger G. Ibbotson, Peng Chen, Moshe Milevsky, and Xingnong Zhu
Investigates the impact of human capital on asset allocation decisions