Investing Research Articles

As suggested by readers, we evaluate here Bill Cara’s weekly outlooks for the U.S. stock market since January 2005. Bill Cara “is a global capital markets professional who has founded and managed successful full-service and national electronic brokerages.” He is president, head trader and chief market strategist for Cara Trading Advisors, which “actively trades your… Keep Reading

We evaluate here the commentary of Dr. Marc Faber regarding the U.S. stock market via his archived articles at “AME Info – The ultimate Middle East business resource” during late 2000 through 2007 and via his blog since the end of 2008. Marc Faber is publisher of the Gloom, Boom and Doom Report, which “highlights… Keep Reading

…Herb Greenberg successfully identify stocks that, on average, underperform the market. However, the high variability of returns for these stocks continues to make trading on “Greenberg mentions” extremely risky.

What drives the momentum effect among individual U.S. stocks? In their June 2012 paper entitled “Momentum, Risk, and Underreaction”, Mark Rachwalski and Quan Wen investigate the sources of profits for momentum strategies applied to individual stocks. They measure momentum profitability as average monthly returns to three series of equal-weighted hedge portfolios that each month are long… Keep Reading

“Monthly Rebalanced Shorting of Leveraged ETF Pairs” finds that shorting some pairs of leveraged ETFs may be attractive. How has the strategy worked recently and how sensitive are findings to execution costs? To investigate, we consider three pairs of monthly reset equal short positions in: ProShares Ultra S&P500 (SSO) and ProShares UltraShort S&P500 (SDS) ProShares… Keep Reading

Can commodities still be useful for portfolio diversification, despite their recent poor aggregate return, high volatility and elevated return correlations with other asset classes? In the May 2013 version of their paper entitled “Strategic Allocation to Commodity Factor Premiums”, David Blitz and Wilma de Groot examine the performance and diversification power of the commodity market portfolio… Keep Reading

Do asset returns exhibit cyclic relative strength? In the December 2015 revision of their paper entitled “Return Seasonalities”, Matti Keloharju, Juhani Linnainmaa and Peter Nyberg examine 12-month relative strength cycles via a strategy that is each month long (short) assets with the highest (lowest) returns during the same calendar month over the past 20 years. They apply this strategy to individual… Keep Reading

How do the long and short sides of futures trend-following strategies differently affect portfolio riskiness? In their September 2016 paper entitled “The Long and Short of Trend Followers”, Jarkko Peltomaki, Joakim Agerback and Tor Gudmundsen-Sinclair investigate via linear regression behaviors of the long and short sides of commonly used trend-following strategies across equities, bonds, commodities and currency futures/forwards… Keep Reading

Is volatility dangerously oversold? In their November 2017 paper entitled “Everybody’s Doing it: Short Volatility Strategies and Shadow Financial Insurers”, Vineer Bhansali and Lawrence Harris survey strategies that directly or indirectly short volatility, including: Relevant strategies (selling options, buying and selling products linked to volatility indexes, risk parity, risk premium harvesting and volatility targeting). Types of investors… Keep Reading

Has growth in futures-based exchange-traded funds (ETF) predictably affected pricing of underlying assets? In his November 2019 paper entitled “Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets”, Karamfil Todorov investigates impacts of ETF trading on pricing of futures on equity volatility (VIX) and commodities, the two asset classes most dominated by ETFs…. Keep Reading