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Investing Research Articles

3613 Research Articles

Are Managed Futures ETFs Working?

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

Weekly Summary of Research Findings: 9/23/24 – 9/27/24

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 ETFs Working?

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

Anticipating Top Mutual Fund Stock Picks

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

T-note Behavior over the Calendar Year

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

Volatility of Volatility as Stock Market Return Predictor

Some experts interpret stock market return volatility as an indicator of investor sentiment, with high (low) volatility indicating ascendancy of fear (greed). Volatility of volatility (VoV) would thus indicate uncertainty in investor sentiment. Does the risk associated with this uncertainty depress stock prices and thereby predict strong stock market returns? To investigate, we consider two… Keep Reading

Intrinsic Stock Value vs. Book Value

Does an elaborate firm valuation model outperform the blunt instrument of a simple ratio? In their July 2024 paper entitled “Intrinsic Value: A Solution to the Declining Performance of Value Strategies”, Derek Bergen, Francesco Franzoni, Daniel Obrycki and Rafael Resendes model the intrinsic value of a stock, defined as book value of equity plus the… Keep Reading

Weekly Summary of Research Findings: 9/16/24 – 9/20/24

Below is a weekly summary of our research findings for 9/16/24 through 9/20/24. 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.

Revisiting Effects of S&P 500 Additions and Deletions

How has the immediate price impact associated with a stock entering or leaving the S&P 500 evolved? In the March 2024 revision of their paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon revisit abnormal returns during the trading day after S&P 500 additions and deletions and investigate four potential drivers of findings…. Keep Reading

Predictable Long-term Stock Market Booms and Busts?

Do stock markets following predictable long boom and bust periods? In the August 2024 draft of their paper entitled “The Anatomy of Lost Stock Market Decades”, Todd Feldman and Brian Yang examine the regularity/frequency of bull periods (strong gains) and lost periods (no gains) of at least 10 years. They also test two metrics to… Keep Reading