Investing Research Articles

…momentum and contrarian ETFs based on long-only partitions of broader indexes might offer individual investors practical and diversified access to the momentum factor, and to the associated longer-term contrarian reversal.

…lifecycle investors will generally achieve greater terminal wealth using interim success-based dynamic stocks/fixed income allocation rules than using pre-determined shifts away from stocks and toward fixed income.

…spectral analysis confirms the probable existence of U.S. stock market cycles that coincide with election cycles.

…investors/traders may be able to enhance market timing results by focusing on the most predictable styles/industries (for example, via exchange-traded funds).

…hedge fund investors should recognize that many funds generate “alpha” by taking liquidity risks that make converting assets to cash difficult.

…relative demand for a stock peaks at $xx.99, while relative supply peaks at $xx.01, suggesting resistance to crossing dollar thresholds.

…the value premium among stocks is persistent across value indicators, time, market capitalizations and geographical markets.

…among a broad sample of actively managed mutual funds, stock picking makes a greater contribution to returns than sector allocation. The average contributions to fund returns from market-sectors-stocks are 79%-9%-12%.

Both EMH and BSH challenge at fundamental levels the continuity of relationships between/among financial variables…

…ETFs offer easy and unique (even leveraged) access to a wide range of asset class/market/style/sector indexes. The 17% of ETFs that compete directly with index mutual funds perform similarly to, or perhaps slightly better than, those mutual funds.