Recent Investing Research

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco DWA Momentum Portfolio (PDP) – invests at least 90% of assets in approximately 100 U.S. common stocks per a proprietary methodology designed… Keep Reading

Do intraday (open-to-close, trading-driven/technical) and overnight (close-to-open, news-driven) stock returns play different roles in signaling short-term reversal, intermediate-term momentum and long-term reversion? In their March 2022 paper entitled “What Drives Momentum and Reversal? Evidence from Day and Night Signals”, Yashar Barardehi, Vincent Bogousslavsky and Dmitriy Muravyev investigate by relating past cumulative daily, intraday and dividend-adjusted… Keep Reading

A subscriber requested evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) iShares iBoxx $ Investment Grade Corporate Bond (LQD) To evaluate, we test a strategy that each month picks the one… Keep Reading

Below is a weekly summary of our research findings for 5/9/22 through 5/13/22. 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.

A subscriber proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds stocks of relatively large firms engaged in natural resources and commodities businesses. DBC holds a range of commodity futures contracts…. Keep Reading

Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns with respect to NYSE trading hours, defining intraday return as 10:00-16:00, overnight return as 16:00-10:00 and daily return as 1600-16:00… Keep Reading

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for April 2022. The actual total (core) inflation rate is higher than (higher than) forecasted.

Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm characteristics to identify stocks that continue to be winners or losers after selection as momentum stocks (stocks with enduring momentum)…. Keep Reading

In response to “Best Equity Risk Premium”, a subscriber asked whether the annual equity risk premium estimates of Aswath Damodaran predict stock market returns one year ahead. The cited source offers two 61-year series of annual estimates of the U.S. equity risk premium implied by an S&P 500:  Dividend Discount Model (DDM).  Free Cash Flow… Keep Reading

Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of: CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) andCBOE S&P 500 95-110 Collar Index (CLL), withS&P 500 Total Return Index (SPTR) as a benchmark. Invesco S&P 500 BuyWrite ETF (PBP),… Keep Reading