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Investing Research Articles

3240 Research Articles

Turn of the Year and Size in U.S. Equities

Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end of the calendar year for the Russell 2000 Index, the S&P 500 Index and the Dow Jones Industrial Average (DJIA)… Keep Reading

Are Target Retirement Date Funds Attractive?

Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by Vanguard, as follows: Vanguard Target Retirement 2020 Fund (VTWNX) Vanguard Target Retirement 2025 Fund (VTTVX) Vanguard Target Retirement 2030 Fund… Keep Reading

Monthly Returns During Presidential and Congressional Election Years

Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections…. Keep Reading

Trend Following Plus Relative Sentiment for Stocks-Bonds Allocation

Does combining a sentiment indicator with a trend following indicator improve performance of a stocks-bonds timing strategy? In his October 2022 paper entitled “The Complementarity of Trend Following and Relative Sentiment”, Raymond Micaletti investigates effects of combining the following trend following (TF) and relative sentiment (RS) indicators: TF – at the end of each month… Keep Reading

More Aggressive Pursuit of the Credit Premium in SACEVS?

Noting that iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) and iShares 20+ Year Treasury Bond ETF (TLT) exhibit a moderately positive return correlation, a subscriber asked about substituting Vanguard High-Yield Corporate Fund Investor Shares (VWEHX) for LQD in the Simple Asset Class ETF Value Strategy (SACEVS) to exploit undervaluation of the credit risk… Keep Reading

Weekly Summary of Research Findings: 10/24/22 – 10/28/22

Below is a weekly summary of our research findings for 10/24/22 through 10/28/22. 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.

Optimal Monthly Cycle for SACEMS?

Is there a best time of the month for measuring momentum within the Simple Asset Class ETF Momentum Strategy (SACEMS)? To investigate, we compare 21 variations of baseline SACEMS by shifting the monthly return calculation cycle from 10 trading days before the end of the month (EOM) to 10 trading days after EOM. For example, an… Keep Reading

Strong Stock Market Return Reversals and Future Trend

Are days with strong stock market return reversals predictive of the future trend? To check, we we use daily opens, lows, highs and closes of the S&P 500 Index to define the following: Reversal – days with both (1) lows more than 1% below the open and (2) highs more than 1% above the open…. Keep Reading

Stock Index Earnings-Returns Lead-lag

A subscriber asked about the lead-lag relationship between S&P 500 earnings and S&P 500 Index returns. To investigate, we relate actual aggregate S&P 500 operating and as-reported earnings to S&P 500 Index returns at both quarterly and annual frequencies. Earnings forecasts are available well in advance of returns. Actual earnings releases for a quarter occur… Keep Reading

Global Safe Retirement Withdrawal Rate

Does a constant real annual withdrawal rate of 4% of household savings at retirement, derived from U.S. asset return experience, really protect against financial ruin? In their September 2022 paper entitled “The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets”, Aizhan Anarkulova, Scott Cederburg, Michael O’Doherty and Richard Sias consider data from… Keep Reading