Investing Research Articles

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

Below is a weekly summary of our research findings for 6/14/21 through 6/18/21. 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.

Do morning and afternoon stock returns convey different meanings due to gradual dissipation of information asymmetry among traders during the trading day (as the market digests overnight news)? In their August 2022 paper entitled “A Tale of One Day: Morning Momentum, Afternoon Reversal”, Haoyu Xu and Xiaoneng Zhu investigate differences in implications for reversal and… Keep Reading

…equity traders may find the trading rules in Short Term Trading Strategies That Work interesting, but they should consider potential limitations in the supporting analyses and recognize the challenge of reliably extracting economic value from such rules with trading frictions in a real, continuously managed series of trades.

Below is a weekly summary of our research findings for 3/4/19 through 3/8/19. 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.

Since 7/9/09, Christophe Faugère has been publishing (almost) daily “Market Estimates” of the value of the S&P 500 Index based on Required Yield Theory (RYT). RYT views investors as: (1) requiring that U.S. stocks and bonds in aggregate prospectively provide a real after-tax yield directly related to real long-term GDP per capita growth; and then,… Keep Reading

Do stock dividends exhibit exploitable risk premiums? In their July 2018 paper entitled “A Model-Free Term Structure of U.S. Dividend Premiums”, Maxim Ulrich, Stephan Florig and Christian Wuchte construct a term structure of the dividend risk premium and test strategies to time this premium at specific horizons. They specify dividend risk premium as the spread between: Expected dividend growth… Keep Reading

Is there a more precise way to measure the premium available to investors willing to bear volatility risk than overall return variance? In their January 2015 paper entitled “Downside Variance Risk Premium”, Bruno Feunou, Mohammad Jahan-Parvar and Cedric Okou investigate the usefulness of  (1) decomposing the variance risk premium (the difference between option-implied and realized variance)… Keep Reading

We evaluate here the weekly “Ahead of the Curve” columns in SmartMoney.com since August 2001 (the earliest available). The author, Don Luskin, is the Chief Investment Officer for Trend Macrolytics LLC. The table below quotes forecast highlights from the cited source and shows the performance of the S&P 500 Index over various numbers of trading days… Keep Reading

Is there an exploitable way to predict when short-term stock market return will be negative? In his June 2018 paper entitled “Predictable Downturns”, Carter Davis tests a random forest regression-based forecasting model to predict next-day U.S. stock market downturns. He uses the value-weighted return of a portfolio of the 10 U.S. stocks with the largest market… Keep Reading