Investing Research Articles

How should investors think about the correlation between stock market returns and bond market returns when constructing a diversified portfolio? In their April 2024 paper entitled “Stock-Bond Correlation: Theory & Empirical Results”, Lorenzo Portelli and Thierry Roncalli examine theoretical and empirical relationships between the stocks-bonds return correlation and other variables/conditions. They focus on: Monthly returns… Keep Reading

Below is a weekly summary of our research findings for 5/20/24 through 5/24/24. 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.

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call (XYLD) – seeks to track BXM. Global X NASDAQ 100… Keep Reading

Is the price of gold too high? In their May 2024 paper entitled “Is There Still a Golden Dilemma?”, Claude Erb and Campbell Harvey revisit their golden dilemma, the tug of war between dueling ideas: A high price for gold today presages low future return. The higher the price of gold today, the rosier its… Keep Reading

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider nine momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco Dorsey Wright Momentum ETF (PDP) – invests at least 90% of assets in approximately 100 U.S. common stocks per a proprietary methodology… Keep Reading

After seeing “Review of the Quantified Market Psychology Strategy”, reader Steve Ruoff requested review of his U.S. Treasuries timing strategy as recorded at Timertrac (Duration Strategy), which approximately every four weeks generates allocations to: Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD); Direxion Daily 7-10 Year Treasury Bear 3X Shares (TYO); and cash, for which… Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Below is a weekly summary of our research findings for 5/13/24 through 5/17/24. 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.

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

What does the body of research say about implications of new social media for financial markets? In their April 2024 paper entitled “Social Media and Finance”, Anthony Cookson, William Mullins and Marina Niessner survey research on social media in finance, distinguishing between research using social media to explore investor behaviors and research on the effects… Keep Reading