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Investing Research Articles

2801 Research Articles

Commercial and Industrial Credit as a Stock Market Driver

Does commercial and industrial (C&I) credit fuel business growth and thereby drive the stock market? To investigate, we relate changes in credit standards from the Federal Reserve Board’s quarterly Senior Loan Officer Opinion Survey on Bank Lending Practices to future U.S. stock market returns. Presumably, loosening (tightening) of credit standards is good (bad) for stocks. The… Keep Reading

Testing the All Weather Portfolio

A subscriber requested a test of Ray Dalio‘s All Weather (AW) portfolio with different rebalancing frequencies, allocated to exchange-traded funds (ETF) as asset class proxies as follows: 30% – Vanguard Total Stock Market (VTI) 40% – iShares 20+ Year Treasury (TLT) 15% – iShares 7-10 Year Treasury (IEF) 7.5% – SPDR Gold Shares (GLD) 7.5% –… Keep Reading

Weekly Summary of Research Findings: 2/18/20 – 2/21/20

Below is a weekly summary of our research findings for 2/18/20 through 2/21/20. 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.

Verification Tests of the Smart Money Indicator

A subscriber requested verification of findings in “Smart Money Indicator for Stocks vs. Bonds”, where the Smart Money Indicator (SMI) is a complicated variable that exploits differences in futures and options positions in the S&P 500 Index, U.S. Treasury bonds and 10-year U.S. Treasury notes between institutional investors (smart money) and retail investors (dumb money)…. Keep Reading

Underreaction to Changes in Firm Fundamentals

Do investors systematically and exploitably underreact to deviations in firm fundamentals from recent averages? In their January 2020 paper entitled “Anchoring on Past Fundamentals”, Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam investigate how deviations of quarterly firm accounting variables from averages over recent quarters relate to future returns across stocks. They first construct a stock… Keep Reading

Combining SMA10 and P/E10 Signals

In response to the U.S. stock market timing backtest in “Usefulness of P/E10 as Stock Market Return Predictor”, a subscriber suggested combining a 10-month simple moving average (SMA10) technical signal with a P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) fundamental signal. Specifically, we test: SMA10 – bullish/in stocks (bearish/in government bonds) when prior-month stock index… Keep Reading

Exploiting Liquidity Needs of Futures-based ETFs

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

Weekly Summary of Research Findings: 2/10/20 – 2/14/20

Below is a weekly summary of our research findings for 2/10/20 through 2/14/20. 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.

Doom and the Stock Market

Is proximity to doom good or bad for the U.S. stock market? To measure proximity to doom, we use the Doomsday Clock “Minutes-to-Midnight” metric, revised intermittently in late January via the Bulletin of the Atomic Scientists, which “warns the public about how close we are to destroying our world with dangerous technologies of our own… Keep Reading

Should the “Anxious Index” Make Investors Anxious?

Since 1990, the Federal Reserve Bank of Philadelphia has conducted a quarterly Survey of Professional Forecasters. The American Statistical Association and the National Bureau of Economic Research conducted the survey from 1968-1989. Among other things, the survey solicits from experts probabilities of U.S. economic recession (negative GDP growth) during each of the next four quarters…. Keep Reading