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Investing Research Articles

3495 Research Articles

The State of LLM Use in Accounting and Finance

How might Large Language Models (LLM), trained to understand, generate and interact with human language via billions or trillions of tuned parameters, impact accounting and finance? In their December 2023 paper entitled “A Scoping Review of ChatGPT Research in Accounting and Finance”, Mengming Dong, Theophanis Stratopoulos and Victor Wang synthesize recent publications and working papers… Keep Reading

Long-term SMA and TOTM Combination Strategy

“Turn-of-the-Month Effect Persistence and Robustness” indicates that average absolute returns during the turn-of-the-month (TOTM) are strong for both bull and bear markets. Does a strategy of capturing all bull market returns and TOTM returns only during bear markets perform well? To investigate, we apply four strategies to SPDR S&P 500 ETF Trust (SPY) as a… Keep Reading

Turn-of-the-Month Effect Persistence and Robustness

Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong stock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months? Does it persist throughout the U.S. political cycle? Does it work for different equity indexes? To investigate, we define TOTM… Keep Reading

Weekly Summary of Research Findings: 1/16/24 – 1/19/24

Below is a weekly summary of our research findings for 1/16/24 through 1/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Federal Surplus/Deficit and Stock Returns

Does the level of, or change in, the annual U.S. federal surplus/deficit systematically influence the U.S. stock market, perhaps by affecting consumption and thereby corporate earnings or by modifying inflation and thereby discount rates? To check, we relate annual stock market returns to the annual surplus/deficit (receipts minus outlays) as a percentage of Gross Domestic… Keep Reading

January Barometer Over the Long Run

Does long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? To investigate, we consider two views of the S&P 500 Index over its full history: Correlations between index returns during each calendar month and returns over the… Keep Reading

Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes

What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following eight asset class exchange-traded funds (ETF), plus Cash: Invesco DB Commodity Index Tracking (DBC) iShares JPMorgan Emerging Markets Bond Fund (EMB) iShares MSCI EAFE Index (EFA) SPDR Gold… 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: 1/8/24 – 1/12/24

Below is a weekly summary of our research findings for 1/8/24 through 1/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Year of the Decade Effect?

Are some years of the decade better than others for equity markets? To investigate, we look at average annual returns by year of the decade (xxx0 through xxx9) for the U.S. stock market. Using annual levels of Shiller’s S&P Composite Index for 1871-2023 and the S&P 500 Index for 1928-2023, we find that: