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Investing Research Articles

3208 Research Articles

Stock Market and the National Election Cycle

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading

Weekly Summary of Research Findings: 6/6/22 – 6/10/22

Below is a weekly summary of our research findings for 6/6/22 through 6/10/22. 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.

Is the U.S. Dollar a Safe Haven?

A subscriber asked whether the U.S. dollar is a safe haven from the U.S. stock market. One way to address the question is to repeat the tests used in “Best Safe Haven ETF?” on Invesco DB US Dollar Index Bullish Fund (UUP). Specifically, we look at: Contemporaneous UUP return correlation with the S&P 500 Index… Keep Reading

Debt-to-GDP Ratio and Investment Risk Premiums

Is the government debt-to-Gross Domestic Product (GDP) ratio a useful predictor of stock and bond market returns? In his May 2021 paper entitled “Government Debt and Risk Premia”, Yang Liu examines relationships between future stock and bond market excess returns (relative to short term government bills) and government debt-to-GDP ratio. He measures government debt as… Keep Reading

CPI-to-PPI Ratio and the Stock Market

In response to “PPI and the Stock Market”, a subscriber hypothesized that increases and decreases in the ratio of the Consumer Price Index (CPI) to the Producer Price Index (PPI) are bullish and bearish for the stock market, respectively. The reasoning for the hypothesis is that CPI reflects aggregate corporate revenue, while PPI reflects aggregate… Keep Reading

PPI and the Stock Market

Inflation at the producer level (per the Producer Price Index, PPI) is arguably an advance indicator for inflation downstream at the consumer level (per the Consumer Price Index, CPI). Do investors reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is a high (low) producer-level inflation… Keep Reading

Very Simple Asset Class ETF Momentum Strategy (VSACEMS) with DBC

In response to Very Simple Asset Class ETF Momentum Strategy (VSACEMS), a subscriber requested evaluation of an alternative VSACEMS that considers only the following three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) Invesco DB Commodity Index Tracking (DBC) To evaluate, we test a strategy that each month picks… Keep Reading

Weekly Summary of Research Findings: 5/31/22 – 6/3/22

Below is a weekly summary of our research findings for 5/31/22 through 6/3/22. 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.

EEM Risk-on and TLT Risk-off

A subscriber suggested review of a Follow the Leader (FTL) strategy that, in simplest form, each month holds iShares MSCI Emerging Markets ETF (EEM) when prior-month SPDR S&P 500 ETF Trust (SPY) return is positive and iShares 20+ Year Treasury Bond ETF (TLT) when prior-month SPY return is negative. To investigate, we run this simplest… Keep Reading

Weekly Stock Market Streaks

What happens after the stock market has a streak of up or down weeks? To check, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and calculate average weekly returns and variabilities of these returns after streaks of positive or negative weekly returns. We do not include streaks within… Keep Reading