Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for April 2020 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for April 2020 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research
New Research Filter

The new filtering tool is a better way to search and order research. With the filter you can:

  • Enter search keywords
  • Select one or multiple categories
  • Filter specific date ranges
  • Sort by relevance, date, and popularity
  • Increase the number of posts per page

Questions or comments? Email [email protected].

Investing Research Articles

2773 Research Articles

Weekly Summary of Research Findings: 12/16/19 – 12/20/19

Below is a weekly summary of our research findings for 12/16/19 through 12/20/19. 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.

Retail Trading Drives Stock Momentum?

Is retail trading a reliable driver of U.S. stock momentum? In his November 2019 paper entitled “Retail Trading and Momentum Profitability”, Douglas Chung investigates interactions across stocks between current proportion of retail trading and future momentum returns. Specifically, for each month and for each of two recent stock samples, he: Sorts stocks into fifths (quintiles)… Keep Reading

Intrinsic Momentum or SMA for Avoiding Crashes?

A subscriber suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety of economic and market conditions, we measure the long run performances of entry and exit signals from IMs over past… Keep Reading

Stock Returns Around Christmas

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the… Keep Reading

Factor Portfolio Longs vs. Shorts

Do both the long and short sides of portfolios used to quantify widely accepted equity factors benefit investors? In their November 2019 paper entitled “When Equity Factors Drop Their Shorts”, David Blitz, Guido Baltussen and Pim van Vliet decompose and analyze gross performances of long and short sides of U.S. value, momentum, profitability, investment and… Keep Reading

SACEVS with SMA Filter

Does  applying a simple moving average (SMA) filter improve performance of the “Simple Asset Class ETF Value Strategy” (SACEVS), which seeks diversification across the following three asset class exchange-traded funds (ETF) plus cash according to the relative valuations of term, credit and equity risk premiums? 3-month Treasury bills (Cash) iShares 20+ Year Treasury Bond (TLT) iShares iBoxx $… Keep Reading

Weekly Summary of Research Findings: 12/9/19 – 12/13/19

Below is a weekly summary of our research findings for 12/9/19 through 12/13/19. 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.

Smart Money Indicator for Stocks vs. Bonds

Do differences in expectations between institutional and individual investors in stocks and bonds, as quantified in weekly legacy Commitments of Traders (COT) reports, offer exploitable timing signals? In the February 2019 revision of his paper entitled “Want Smart Beta? Follow the Smart Money: Market and Factor Timing Using Relative Sentiment”, flagged by a subscriber, Raymond… 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

More Stock Funds Than Stocks?

What does it mean when the number of stock funds exceeds the number of stocks they hold? In their October 2019 paper entitled “What Happens with More Funds than Stocks?”, Ananth Madhavan, Aleksander Sobczyk and Andrew Ang tackle this question by examining holdings over time for all U.S. active equity mutual funds and equity exchange-traded… Keep Reading