Recent Investing Research

Referring to “Asset Class Momentum Faster During Bear Markets?”, a subscriber asked about performance of a modification of the equal-weighted top three (EW Top 3) version of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) which uses the baseline momentum ranking (lookback) interval when the S&P 500 Index is above its 10-month simple moving average… Keep Reading

“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

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

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

The full-year Trading Calendar indicates that the U.S. stock market has three phases over the calendar year, corresponding to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are typical stock market returns and return variabilities for these phases? Using daily S&P 500 Index closes from the end of December 1927 through… Keep Reading

Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO).  As in the referenced research, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total… Keep Reading

Below is a weekly summary of our research findings for 1/3/22 through 1/7/22. 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.

Do models of the cross-section of future stock returns based on technical indicators work as well as those based on fundamental factors? In their December 2021 paper entitled “Technical Indicators and Cross-Sectional Expected Returns”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti investigate the combined abilities of 14 technical indicators to explain differences in… Keep Reading

How have active equity investment managers performed over the past three decades? In his November 2021 paper entitled “Active Equity Management, 1991-2020”, Gene Hochachka examines whether: (1) active equity managers as a group beat their benchmarks over the last 30 years; and, (2) active equity manager relative performance is persistence. By active equity managers, he… Keep Reading

Throughout each month, the National Federation of Independent Businesses surveys members on ten components of business conditions they anticipate six months hence. They issue findings on the second Tuesday of the following month in “Small Business Economic Trends”, including a Small Business Optimism Index (SBOI). Are the expectations of responding small business owners a “grass roots” predictor… Keep Reading