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Investing Research Articles

2876 Research Articles

Stock Market Behavior Around Mid-year and 4th of July

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading

Are Equity Index Covered Call ETFs Working?

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity covered call ETFs: Invesco S&P 500 BuyWrite ETF (PBP) – seeks to track the CBOE S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call ETF (HSPX) – seeks to track the CBOE… Keep Reading

Weekly Summary of Research Findings: 6/15/20 – 6/19/20

Below is a weekly summary of our research findings for 6/15/20 through 6/19/20. 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.

Test of Seasonal Risk Adjustment Strategy

A subscriber requested review of a strategy that seeks to exploit “Sell in May” by switching between risk-on assets during November-April and risk-off assets during May-October, with assets specified as follows: Risk-on – SPDR S&P 500 (SPY), iShares Russell 2000 Index (IWM) and PowerShares DWA Technical Leaders (PDP). Risk-off – iShares Barclays 20+ Year Treas Bond (TLT)… Keep Reading

Home Prices and the Stock Market

…data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.

Reliability and Exploitability of U.S. Stock Market Trends

Does the U.S. stock market exhibit reliable and exploitable trends as measured by intrinsic (absolute or time series) momentum? In their April 2020 paper entitled “Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications”, Valeriy Zakamulin and Javier Giner examine evidence of time series momentum in the excess returns (relative to… Keep Reading

Combining Market Trend and Chicago Fed NFCI Signals

In response to “Exploiting Chicago Fed NFCI Predictive Power”, which tests practical use of the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) for U.S. stock market timing, a subscriber suggested combining this strategy with stock market trend as in “Combine Market Trend and Economic Trend Signals?”. To investigate, we use the 40-week… Keep Reading

Long-term SMA and TOTM Combination Strategy

“Turn-of-the-Month Effect Persistence and Robustness” indicates that average absolute returns during the turn-of-the-month (TOTM) are strong for both bull and bear markets. Does a strategy of capturing all bull market returns and TOTM returns only during bear markets perform well? To investigate, we apply four strategies to S&P Depository Receipts (SPY) as a tradable proxy… Keep Reading

Weekly Summary of Research Findings: 6/8/20 – 6/12/20

Below is a weekly summary of our research findings for 6/8/20 through 6/12/20. 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.

Does the Turn-of-the-Month Effect Work for Asset Classes?

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value Strategy”: PowerShares DB… Keep Reading