Investing Research Articles

A subscriber observed and asked: “Many Bogleheads at Vanguard prefer a buy and hold portfolio of 50% SPY, 25% each BND and EFA [rebalanced annually]. How does this compare to your current strategy? And how...

Below is a weekly summary of our research findings for 7/22/24 through 7/26/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value,...

“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear...

Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024...

“Simple Sector ETF Momentum Strategy” investigates performances of simple momentum trading strategies for the following nine sector exchange-traded funds (ETF) executed with Standard & Poor’s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select...

A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a...

Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked for confirmation that the strategy described at “Meb Faber’s 12-Month High Switch” (the strategy) is attractive. This strategy at each monthly close: Calculates the 12-month high for: SPDR S&P 500 ETF Trust...

Below is a weekly summary of our research findings for 7/8/24 through 7/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a utilities risk premium, derived from the yield on Utilities Select Sector SPDR Fund (XLU)? To investigate, we apply the SACEVS methodology to the following...

“Use Short-term S&P 500 Index Indicators to Predict VIX Futures?” describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term...

Does the S&P 500 Index (SPX) or the CBOE Volatility Index (VIX) yield better short-term trading signals for stocks and VIX futures? In the May 2024 revision of his paper entitled “Chicken and Egg: Should...

Below is a weekly summary of our research findings for 7/1/24 through 7/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Can artificial intelligence (AI), in the form of a deep-learning neural network, outperform human analysts in predicting stock prices at an annual horizon? In the May 2024 revision of his paper entitled “Can AI Replace...

“Countercyclical Asset Allocation Strategy” summarizes research on a simple countercyclical asset allocation strategy that systematically raises (lowers) the allocation to an asset class when its current aggregate allocation is relatively low (high). The underlying research is...

Is industry trend-following an attractive strategy over the long run? In their June 2024 paper entitled “A Century of Profitable Industry Trends”, Carlo Zarattini and Gary Antonacci evaluate the long-term performance of a long-only industry...

Is copper price a reliable leading indicator of economic activity and therefore of future corporate earnings and equity prices? To investigate, we employ the monthly price index for copper base scrap from the U.S. Bureau...

Below is a weekly summary of our research findings for 6/24/24 through 6/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Is the Buffett Indicator, the ratio of total U.S. stock market capitalization (proxied by Wilshire 5000 Total Market Index W5000) to U.S. Gross Domestic Product (GDP), a useful indicator of future U.S. stock market performance? W5000/GDP...

Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They...

Are the industry membership of a firm, as designated by Standard Industrial Classification (SIC) code, and the position of the firm within its industry good predictors of the performance of its stock? In their May...

Below is a weekly summary of our research findings for 6/17/24 through 6/21/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

What happens to retail investor performance when brokers make trading apps game-like (gamification)? In his June 2024 paper entitled “Gamification of Stock Trading: Losers and Winners”, Eduard Yelagin examines how traders react to injections of...

A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one...