Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for October 2021 (Final)

Momentum Investing Strategy (Strategy Overview)

Allocations for October 2021 (Final)
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Recent Investing Research

AAII Investor Sentiment as a Stock Market Indicator

Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII) via a weekly survey of members. This survey asks AAII members each week (Thursday through Wednesday): “Do you feel the… Keep Reading

Do ETFs Following Gurus/Insiders Work?

Do exchange-traded funds (ETF) that attempt to mimic holdings of hedge fund gurus and/or firm insiders offer attractive performance? To investigate, we consider seven ETFs, four live and three dead, in order of introduction: Invesco Insider Sentiment (NFO) – focuses on stocks attracting interest of insiders such as company executives, fund managers and sell side… Keep Reading

Monthly Returns During Presidential and Congressional Election Years

Do hopes and fears of U.S. election outcomes, associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections. Using… Keep Reading

Update of a Lumber/Gold Risk-on/Risk-off Strategy

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

Weekly Summary of Research Findings: 10/11/21 – 10/15/21

Below is a weekly summary of our research findings for 10/11/21 through 10/15/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Simple Tests of Sy Harding’s Seasonal Timing Strategy

Does the technically adjusted Seasonal Timing Strategy popularized some years ago in Sy Harding’s Street Smart Report Online (now unavailable due to Mr. Harding’s death) generate attractive performance? This strategy combines “the market’s best average calendar entry [October 16] and exit [April 20] days with a technical indicator, the Moving Average Convergence Divergence (MACD).” According… Keep Reading

Corporate Debt-to-GDP Ratio as a Stock Market Indicator

A subscriber asked whether risk assets tend to struggle for about two years after low values of the ratio of corporate debt to Gross Domestic Product (GDP). To investigate, we use Non-financial Corporate Debt Securities and Loans as a proxy for corporate debt. Both debt and GDP series are quarterly, seasonally adjusted and have release… Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for September 2021. The actual total (core) inflation rate is slightly higher than (the same as) forecasted.

Asset Class Reactions to Monthly Inflation Data

How do individual asset classes react to monthly inflation indications? To investigate, we relate future monthly returns for the following asset class exchange-traded fund (ETF) proxies to monthly changes in the U.S. Consumer Price Index (CPI): SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging Markets Index… Keep Reading

Do High-dividend Stock ETFs Beat the Market?

A subscriber asked about current evidence that high-dividend stocks outperform the market. To investigate, from a practical perspective, we compare performances of five high-dividend stock exchange-traded funds (ETFs) with relatively long histories to that of SPDR S&P 500 (SPY) as a proxy for the U.S. stock market. The five high-dividend stock ETFs are: iShares Select Dividend… Keep Reading

Stock Market Performance Perspectives

How different are stock market performance metrics for: Capital gains only, capital gains plus dividends accrued as cash (spent or saved), and capital gains plus dividends reinvested in the stock market? Nominal versus real returns? Simple return-to-risk calculations versus Sharpe ratio? Using quarterly S&P 500 Index levels and dividends, quarterly U.S. Consumer Price Index (CPI) data (all… Keep Reading

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