Investing Research Articles

Do U.S. equity exchange-traded funds (ETF) exhibit long-term momentum? In their October 2019 paper entitled “ETF Momentum”, Frank Li, Melvyn Teo and Chloe Yang investigate future performance of U.S. equity ETFs sorted on multi-year past returns. Each month starting August 2004, they: Sort selected ETFs into tenths (deciles) based on returns over the past two,… Keep Reading

Do interest rate effects explain/predict the poor performance of value stocks over the past decade, and especially during 2017 through early 2020? In their May 2020 paper entitled “Value and Interest Rates: Are Rates to Blame for Value’s Torments?”, Thomas Maloney and Tobias Moskowitz investigate interactions between equity value factors and the interest rate environment…. Keep Reading

Can investors detect when commodity futures momentum, value and carry (basis) strategies are crowded and therefore likely to generate relatively weak returns? In the March 2021 version of their paper entitled “Crowding and Factor Returns”, Wenjin Kang, Geert Rouwenhorst and Ke Tang examine how crowding by commodity futures traders affects expected returns for momentum, value… Keep Reading

Should investors dismiss short-term signals as unexploitable due to high trading frictions? In their May 2022 paper entitled “Beyond Fama-French Factors: Alpha from Short-Term Signals”, David Blitz, Matthias Hanauer, Iman Honarvar, Rob Huisman and Pim van Vliet investigate whether investors can extract a material net alpha by applying efficient trading rules to a composite of… Keep Reading

Is recent weakness in the stock return momentum anomaly, perhaps representing market adaptation to widespread anomaly exploitation, permanent or transitory? In their July 2016 paper entitled “Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market”, Steven Dolvin and Bryan Foltice explore recent profitability of stock return momentum trading in the U.S. market. They… Keep Reading

Does publication of academic studies on stock return anomalies in the U.S. tend to extinguish these anomalies in global markets? In their November 2023 paper entitled “Does U.S. Academic Research Destroy the Predictability of Global Stock Returns?”, Guohao Tang, Yuwei Xie and Lin Zhu compare out-of-sample (post-research sample) and post-publication global returns to research-sample global… Keep Reading

Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a global view. “U.S. Equity Premium?” – evidence from simple tests on about 21 years of data suggests that stock market… Keep Reading

Can long volatility investors improve performance of their portfolios by scaling positions inversely to some measure of volatility? In his March 2024 paper entitled “Volatility-Managed Volatility Trading”, Aoxiang Yang tests volatility risk premium (VRP) timing strategies that hold a volatility asset and a risk-free asset, with the weight of the former inverse to some measure… Keep Reading

Are economic globalization and market financialization extinguishing diversification? In their October 2016 paper entitled “Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World”, John Cotter, Stuart Gabriel and Richard Roll examine diversification within and across equity, government debt and real estate investment trust (REIT) indexes worldwide (a total of 40 indexes spanning 23 countries). They… Keep Reading

Do changes in firm financial reporting practices signal bad news to come? In the February 2018 update of their paper entitled “Lazy Prices”, Lauren Cohen, Christopher Malloy and Quoc Nguyen investigate relationships between changes in firm financial reporting practices (SEC 10-K, 10-K405, 10-KSB and 10-Q filings) and future firm/stock performance. They focus on quarter-to-quarter changes in content bases on… Keep Reading