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Value Investing Strategy (Strategy Overview)

Allocations for January 2021 (Final)
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Momentum Investing Strategy (Strategy Overview)

Allocations for January 2021 (Final)
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Recent Investing Research

Machine-assisted Stock Price Pattern Analysis

Can machine learning software discover predictive stock price patterns? In their December 2020 paper entitled “(Re-)Imag(in)ing Price Trends”, Jingwen Jiang, Bryan Kelly and Dacheng Xiu apply convolutional neural network machine learning software to analyze stock price series images (depicting daily open, high, low, close and moving average prices and trading volume) in search of the… Keep Reading

Intangible Value Factor

Intangible assets derive largely from investments in employees, brand and knowledge that are expensed rather than booked. Despite large and growing importance of intangible assets, traditional measures of firm value ignore them. Are firm value assessments therefore defective? In their October 2020 paper entitled “Intangible Value”, Andrea Eisfeldt, Edward Kim and Dimitris Papanikolaou evaluate a… Keep Reading

Timing GBTC Based on Its Inferred Premium

“Evolution of Bitcoin as an Investment” suggests a shift toward acceptance of Bitcoin (BTC) as an investment asset, as do recent actions by some large investors. Grayscale Bitcoin Trust (GBTC) offers a way for investors to access BTC via a fund that manages BTC holdings. GBTC price generally carries a premium over its BTC holdings… Keep Reading

Weekly Summary of Research Findings: 1/11/21 – 1/15/21

Below is a weekly summary of our research findings for 1/11/21 through 1/15/21. 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.

Sector Performance by Calendar Month

Trading Calendar presents full-year and monthly cumulative performance profiles for the overall U.S. stock market (proxied by the S&P 500 Index) based on average daily behavior. Do monthly behaviors of U.S. stock market sectors deviate from the overall market profile? To investigate, we consider the nine Select Sector Standard & Poor’s Depository Receipts (SPDR) exchange-traded… Keep Reading

Seasonal Timing of Monthly Investment Increments

A subscriber requested evaluation of three retirement investment alternatives, assuming a constant increment invested at the end of each month, as follows: 50-50: allocate each increment via fixed percentages to stocks and bonds (for comparability, we use 50% to each). Seasonal 1: during April through September (October through March), allocate 100% of each increment to… Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for December 2020. The actual total (core) inflation rate is a little higher than (slightly lower than) forecasted.

Ziemba Party Holding Presidency Strategy Update

“Exploiting the Presidential Cycle and Party in Power” summarizes strategies that hold small stocks (large stock or bonds) when Democrats (Republicans) hold the U.S. presidency. How has this strategy performed in recent years? To investigate, we consider three strategy alternatives using exchange-traded funds (ETF): D-IWM:R-SPY: hold iShares Russell 2000 (IWM) when Democrats hold the presidency and SPDR… Keep Reading

Party in Power and Stock Returns

Past research relating U.S. stock market returns to the party holding the Presidency mostly concludes that Democratic presidents are better for the stock market than Republican presidents. However, Presidents share power conferred by the electorate with Congress. Does historical data confirm that Democratic control of Congress is also better for stock market returns than Republican… Keep Reading

Performance of Barron’s Annual Top 10 Stocks

Each year in December, as for this year, Barron’s publishes its list of the best 10 stocks for the next year. Do these picks on average beat the market? To investigate, we scrape the web to find these lists for years 2011 through 2020, calculate associated calendar year total returns for each stock and calculate… Keep Reading

Weekly Summary of Research Findings: 1/4/21 – 1/8/21

Below is a weekly summary of our research findings for 1/4/21 through 1/8/21. 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.

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