Investing Research Articles

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

Below is a weekly summary of our research findings for 12/11/23 through 12/15/23. 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.

What trading experience makes individual day traders quit trading? In their November 2023 paper entitled “Why Do Individuals Keep Trading and Losing?”. Fernando Chague, Bruno Giovannetti, Bernardo Guimaraes and Bernardo Maciel study the life cycle of individual traders who repeatedly open and close stock or futures positions on the same trading day. They focus on… Keep Reading

Should investors focus on global equity factors or local (country) equity factors when trying to predict their local market returns? In their November 2023 paper entitled “How Global is Predictability? The Power of Financial Transfer Learning”, Oliver Hellum, Lasse Heje Pedersen and Anders Rønn-Nielsen compare the importance of global factors versus local factors for predicting… Keep Reading

Should qualified investors count on global macro (GM) and managed futures (MF, or alternatively CTA for commodity trading advisors) hedge funds to beat the market? In their November 2023 paper entitled “Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?”, Rodney Sullivan and Matthew Wey assess the performances of GM and MF hedge fund… Keep Reading

With stock portfolio construction increasingly based on “black box” machine learning models with very large numbers of inputs, how can investors decide whether portfolio recommendations make sense? In their November 2023 paper entitled “The Anatomy of Machine Learning-Based Portfolio Performance”, Philippe Coulombe, David Rapach, Christian Montes Schütte and Sander Schwenk-Nebbe describe a way to use… Keep Reading

Do different proxies for investor disagreement widely used as stock return predictors (analyst forecast dispersion, idiosyncratic volatility and trading volume) generally agree? In their November 2023 paper entitled “Disagreement of Disagreement”, Christian Goulding, Campbell Harvey and Hrvoje Kurtović examine relationships among these three types of investor disagreement and propose a non-linear composite of them. They… Keep Reading

Below is a weekly summary of our research findings for 12/4/23 through 12/8/23. 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.

“Simplest Asset Class ETF Momentum Strategy Update” updates performance of a strategy that each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50% to Simple Asset Class ETF Value… Keep Reading

Should investors consider portfolio volatility when choosing allocations to stocks and bonds in their retirement accounts? In his October 2023 paper entitled “Retirement Planning: The Volatility-Adjusted Coverage Ratio”, Javier Estrada introduces volatility-adjusted coverage ratio (VAC) as an alternative retirement portfolio metric. He defines this metric as coverage ratio (C, number of years of withdrawals supported… Keep Reading