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Investing Research Articles

2921 Research Articles

Are Hedge Fund ETFs Working?

Are hedge fund-oriented strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six ETFs, all but one currently available (in order of inception dates): IQ Hedge Multi-Strategy Tracker (QAI) – seeks to track, before fees and expenses, risk-adjusted returns of a collection of long/short equity, global macro, market neutral, event-driven, fixed income arbitrage and… Keep Reading

From Irrational to Expressive and Emotional

Are typical investors persistently irrational in pursuit of wealth, or pursuing more than wealth? In his December 2019 book entitled Behavioral Finance: The Second Generation, Meir Statman describes and discusses second-generation behavioral finance, which replaces (1) pursuit of wealth persistently retarded by cognitive shortcuts and emotional biases with (2) pursuit of normal wants including financial… Keep Reading

Weekly Summary of Research Findings: 9/28/20 – 10/2/20

Below is a weekly summary of our research findings for 9/28/20 through 10/2/20. 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.

SLV vs. GLD

How are behaviors of gold and silver exchange-traded funds (ETF) similar and different? To investigate we consider iShares Silver Trust (SLV) versus  SPDR Gold Shares (GLD). Using daily returns for SLV, GLD and the S&P 500 Index (SP500) during late April 2006 (limited by SLV) through early September 2020, we find that:

GDX and GDXJ vs. GLD

How are behaviors of physically backed gold and gold miner exchange-traded funds (ETF) similar and different? To investigate we consider each of Market Vectors Gold Miners (GDX) and VanEck Vectors Junior Gold Miners ETF (GDXJ) versus SPDR Gold Shares (GLD). Using daily returns for GDX since May 2006 and GDXJ since November 2009, and contemporaneous… Keep Reading

Using SVXY to Capture the Volatility Risk Premium

In response to “Shorting VXX with Crash Protection”, which investigates shorting iPath S&P 500 VIX Short-Term Futures (VXX) to capture the equity volatility risk premium, a subscriber asked about instead using a long position in ProShares Short VIX Short-Term Futures (SVXY). To investigate, we consider two scenarios based on monthly measurements: Buy and Hold – buying… Keep Reading

Size as Catalyst for Value and Momentum

The conventional size (market capitalization) premium is notoriously weak since discovery almost 40 years ago. Does this poor live track record mean it is useless to investors? In their September 2020 paper entitled “Settling the Size Matter”, David Blitz and Matthias Hanauer examine whether the size premium is exploitable as a standalone anomaly or in… Keep Reading

Weekly Summary of Research Findings: 9/21/20 – 9/25/20

Below is a weekly summary of our research findings for 9/21/20 through 9/25/20. 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.

Performance of Yield Enhancement Products

Should investors buy yield enhancement products (YEP), which typically offer higher-than-market yields from a package comprised of an underlying stock or equity index and a series of short put options? In the August 2020 version of her paper entitled “Engineering Lemons”, Petra Vokata examines gross and net performances of YEPs, which embed fees as a… Keep Reading

Stocks for the Long Run Internationally

Are buy-and-hold stock market returns attractive over the long run globally? In their May 2020 paper entitled “Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets”, Aizhan Anarkulova, Scott Cederburg and Michael O’Doherty apply a stationary block bootstrap procedure (retaining some time series features) to generate distributions of 1,000,000 each 1-month… Keep Reading