Investing Research Articles

Do changes in the Effective Federal Funds Rate (EFFR), the actual cost of short-term liquidity derived from a combination of market demand and Federal Reserve open market operations designed to maintain the Federal Funds Rate (FFR) target, predictably influence the U.S. stock market over horizons up to a few months? To investigate, we relate smoothed (volume-weighted median)… Keep Reading

Can machine learning exploit interactions between many equity factors and many potential factor return predictors to create an attractive factor timing strategy? In their August 2024 paper entitled “Optimal Factor Timing in a High-Dimensional Setting”, Robert Lehnherr, Manan Mehta and Stefan Nagel apply machine learning with mean-variance optimization to time equity factors when the numbers… Keep Reading

…data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for September 2024.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for October 2024. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies… Keep Reading

Below is a weekly summary of our research findings for 9/23/24 through 9/27/24. 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.

Are hedge fund-oriented strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider 10 ETFs, six live and four dead (in order of inception dates): NYLI Hedge Multi-Strategy Tracker ETF (QAI) – seeks investment results that track, before fees and expenses, the price and yield performance of the NYLI Hedge Multi-Strategy Index, which… Keep Reading

Can researchers train machine learning models to mimic top mutual fund managers? In his August 2024 paper entitled “Machine Learning from the Best: Predicting the Holdings of Top Mutual Funds”, Jean-Paul van Brakel seeks to anticipate and exploit the stock picking of top-performing U.S. equity mutual fund managers by: Using a large set of holdings-based… Keep Reading

The Trading Calendar looks at S&P 500 Index behaviors over the calendar year, finding some consistent patterns. Are there any comparable insights from movements of the U.S. Treasury 10-year constant maturity note (T-note) yield over the calendar year? To investigate, we track T-note yield and cumulative change in T-note yield by business day over all… Keep Reading