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Investing Research Articles

2801 Research Articles

Very Simple Asset Class ETF Momentum Strategy (VSACEMS)

A subscriber requested evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) iShares iBoxx $ Investment Grade Corporate Bond (LQD) To evaluate, we test a strategy that each month picks the one… Keep Reading

Weekly Summary of Research Findings: 3/23/20 – 3/27/20

Below is a weekly summary of our research findings for 3/23/20 through 3/27/20. 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.

Stock Market Continuation and Reversal Months?

Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those… Keep Reading

SACEMS with SMA Filter

A subscriber asked whether applying a simple moving average (SMA) filter to “Simple Asset Class ETF Momentum Strategy” (SACEMS) winners improves strategy performance. SACEMS each months picks winners from among the a set of eight asset class exchange-traded fund (ETF) proxies plus cash based on past returns over a specified interval. Since many technical traders… Keep Reading

Ex-U.S. Equity Factor Model Horse Race

Which equity factor model is best among non-U.S. global stock markets? In other words, what market/accounting variables are most important to investors screening non-U.S. stocks? In his February 2020 paper entitled “A Comparison of Global Factor Models”, Matthias Hanauer compares eight widely used equity factor models on a common dataset spanning stocks from 47 non-U.S…. Keep Reading

Middle-of-the-Night Stock Market Gains

Has 24-hour trading of equity index futures created a reliable pattern in hour-by-hour returns? In their February 2020 preliminary paper entitled “The Overnight Drift”, Nina Boyarchenko, Lars Larsen and Paul Whelan study round-the-clock U.S. stock market performance decomposing S&P 500 Index futures returns by hour, with focus on dealer inventory management. Using 24-hour high-frequency trades… Keep Reading

Do High-dividend Stock ETFs Beat the Market?

A subscriber asked about current evidence that high-dividend stocks outperform the market. To investigate, from a practical perspective, we compare performances of five high-dividend stock exchange-traded funds (ETFs) with relatively long histories to that of SPDR S&P 500 (SPY) as a proxy for the U.S. stock market. The five high-dividend stock ETFs are: iShares Select Dividend… Keep Reading

COVID-19 Crash Questions

Subscribers are posing questions about the 2019 coronavirus (COVID-19) as a driver of current market conditions that are difficult to address with evidence-based analyses. Here are some questions and thoughts:

Weekly Summary of Research Findings: 3/16/20 – 3/20/20

Below is a weekly summary of our research findings for 3/16/20 through 3/20/20. 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.

Are Strong or Weak Daily Closes Predictive?

When the stock market close is strong (weak) relative to its daily range, does it indicate pent-up buying (selling) demand? Should one trade with or against this relative close? To investigate, we relate position of the daily close for the S&P 500 Index relative to its same-day range to future return for the index. We… Keep Reading