Investing Research Articles

Do popular capitalization-based exchange-traded funds (ETF) offer a reliable way to exploit an equity size effect? To investigate, we look at the difference in returns (small minus big) between: iShares Russell 2000 Index (Smallcap) Index (IWM), and SPDR S&P 500 (SPY) Using monthly dividend-adjusted closing prices for these ETFs during May 2000 (limited by IWM)… Keep Reading

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

What asset classes offer the best performance during episodes of high and rising inflation? In their March 2021 paper entitled “The Best Strategies for Inflationary Times”, Henry Neville, Teun Draaisma, Ben Funnell, Campbell Harvey and Otto Van Hemert analyze performances of passive and active strategies across various asset classes during inflationary episodes in the U.S.,… Keep Reading

How should financial advisers and investors approach retirement income planning? In their January 2021 paper entitled “A Model Approach to Selecting a Personalized Retirement Income Strategy”, Alejandro Murguia and Wade Pfau design and validate a questionnaire designed to quantify retirement income styles based on six preference scales: Probability-based vs. Safety First (main) – depending on… Keep Reading

Below is a weekly summary of our research findings for 4/5/21 through 4/9/21. 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.

A subscriber requested an assessment of U.S. federal capital gains tax impacts on  the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and combinations of the two for investors with taxable accounts. Modeling such impacts is difficult due to complexity of the tax code and its highly idiosyncratic effects across… Keep Reading

Are stock due diligence reports posted on Reddit’s Wallstreetbets (WSB) informative? If so, do users exploit them skillfully? In their March 2021 paper entitled “Place Your Bets? The Market Consequences of Investment Advice on Reddit’s Wallstreetbets”, Daniel Bradley, Jan Hanousek Jr., Russell Jame and Zicheng Xiao examine the value and retail trading impact of single-stock due… Keep Reading

What is the total return to U.S. single family (house) rentals? In their February 2021 paper entitled “Total Returns to Single Family Rentals”, Andrew Demers and Andrea Eisfeldt analyze total returns to U.S. single family rentals, decomposed into net rental yield and house price appreciation. To estimate net rental yields, they: Weight city-level gross rental… Keep Reading

How has systematic investment, with trades generated by rules or algorithms, evolved? What are its strengths and weaknesses? In his February 2021 paper entitled “Why Is Systematic Investing Important?”, Campbell  Harvey summarizes the history, advantages and disadvantage of systematic (algorithmic) investing. Based on the body of research and personal experience, he concludes that:

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading