Investing Research Articles

How well have long/short equity mutual funds done in recent years? In their April 2019 paper entitled “Hedge Funds Versus Hedged Mutual Funds: An Examination of Long/Short Funds; A Performance Update”, David McCarthy and Brian Wong present an out-of-sample update of a prior performance assessment of long/short equity mutual funds (see “Multialternative Mutual Fund Performance”)…. Keep Reading

What are the essential points from the stream of research on low-volatility investing? In their August 2019 paper entitled “The Volatility Effect Revisited”, David Blitz, Pim van Vliet and Guido Baltussen provide an overview of the low-volatility (or as they prefer, low-risk) effect, the empirical finding in stock markets worldwide and within other asset classes… Keep Reading

Below is a weekly summary of our research findings for 11/4/19 through 11/8/19. 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.

Should investors buy yield enhancement products (YEP), which typically offer higher-than-market yields from a package comprised of an underlying stock or equity index and a series of short put options? In the August 2020 version of her paper entitled “Engineering Lemons”, Petra Vokata examines gross and net performances of YEPs, which embed fees as a… Keep Reading

Below is a weekly summary of our research findings for 12/7/20 through 12/11/20. 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.

What is the latest evidence on attractiveness of selling covered calls or buying protective puts on the U.S. stock market? In his February 2021 paper entitled “Revisiting Covered Calls and Protective Puts: A Tale of Two Strategies”, Bryan Foltice examines raw and risk-adjusted returns from systematically selling covered calls and buying protective puts on SPDR… Keep Reading

Referencing Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) used as a benchmark in “Are Managed Futures ETFs Working?”, a subscriber asked about adding a managed futures fund index to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe. To investigate, we apply the methodology of  “SACEMS Portfolio-Asset Addition Testing” by adding either Eurekahedge or… Keep Reading

Can investors improve long-term retirement portfolio outcomes by targeting equity factor premiums in their stock allocations? In his April 2023 paper entitled “How Targeting the Size, Value, and Profitability Premiums Can Improve Retirement Outcomes”, Mathieu Pellerin investigates whether stock portfolios that target size, value and profitability factor premiums better sustain retirement spending and generate larger… Keep Reading

The number of published factors significantly explaining variation in individual stock returns has grown steadily over time into the hundreds, inviting the term “factor zoo.” Are all these factors important when applied in combination? In their October 2023 paper entitled “Factor Zoo”, Alexander Swade, Matthias Hanauer, Harald Lohre and David Blitz assess compressibility of the… Keep Reading

Is stock price all-time high a consistently effective trigger for trend following? In their January 2025 paper entitled “Does Trend-Following Still Work on Stocks?”, Carlo Zarattini, Alberto Pagani and Cole Wilcox revisit and extend the results of prior 2005 research on long-only trend following based on stock price all-time high that used 1980-2004 data. They… Keep Reading