Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for May 2024 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for May 2024 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research

Investing Research Articles

3515 Research Articles

Kick Alternative Assets to the Curb?

Alternative assets (private equity, private market real estate, hedge funds and other assets apart from stocks and bonds) constitute approximately 30% of U.S. public pension fund portfolios and 60% of large U.S. endowment portfolios. Are they beneficial? In his August 2023 paper entitled “Have Alternative Investments Helped or Hurt?”, Richard Ennis examines impacts of alternative… Keep Reading

Are Equity Put-Write ETFs Working?

Is systematically selling covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity put-write ETFs, two dead and two living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree PutWrite Strategy Fund (PUTW) – index-oriented (living)…. Keep Reading

CPI-to-PPI Ratio and the Stock Market

In response to “PPI and the Stock Market”, a subscriber hypothesized that increases and decreases in the ratio of the Consumer Price Index (CPI) to the Producer Price Index (PPI) are bullish and bearish for the stock market, respectively. The reasoning for the hypothesis is that CPI reflects aggregate corporate revenue, while PPI reflects aggregate… Keep Reading

PPI and the Stock Market

Inflation at the producer level (per the Producer Price Index, PPI) is arguably an advance indicator for inflation downstream at the consumer level (per the Consumer Price Index, CPI). Do investors reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is a high (low) producer-level inflation… Keep Reading

Use Analyst Target Price Forecasts to Rank Stocks?

While prior research indicates that analyst forecasts of future stock returns are substantially biased upward, might the relative rankings of return forecasts be informative? In their June 2023 paper entitled “Analysts Are Good at Ranking Stocks”, Adam Farago, Erik Hjalmarsson and Ming Zeng apply within-analyst 12-month stock price targets to rank stocks in two ways: Average… Keep Reading

Weekly Summary of Research Findings: 8/14/23 – 8/18/23

Below is a weekly summary of our research findings for 8/14/23 through 8/18/23. 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.

SACEVS-SACEMS for Value-Momentum Diversification

Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly: 50-50 Best Value – EW Top 2: SACEVS Best Value paired with SACEMS Equally… Keep Reading

Asset Class ETF Interactions with VIX

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging Markets Index… Keep Reading

Comparing Ivy 5 Allocation Strategy Variations

A subscriber requested comparison of four variations of an “Ivy 5” asset class allocation strategy, as follows: Ivy 5 EW: Assign equal weight (EW), meaning 20%, to each of the five positions and rebalance annually. Ivy 5 EW + SMA10: Same as Ivy 5 EW, but take to cash any position for which the asset… Keep Reading

Do Convertible Bond ETFs Attractively Meld Stocks and Bonds?

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading