Investing Research Articles

Does multi-class investing boost performance for sophisticated investors such as educational endowments? In his June 2020 paper entitled “Endowment Performance and the Demise of the Multi-Asset-Class Model”, Richard Ennis examines recent performance of educational endowment funds, with focus on allocations to alternative assets. Using performance data from a report on 774 university endowments and from… Keep Reading

Are widely accepted equity factor exposures available in fact to investors via “smart beta” mutual funds and exchange-traded funds (ETF)? In their May 2020 paper entitled “Smart Beta Made Smart”, Andreas Johansson, Riccardo Sabbatucci and Andrea Tamoni test effectiveness of individual U.S. equity mutual funds and ETFs and combinations of these funds for exploiting several… Keep Reading

Below is a weekly summary of our research findings for 6/22/20 through 6/26/20. 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.

Is there a way to mitigate adverse impact of price trajectory turning points (trend changes) on performance of intrinsic (absolute or time series) momentum strategies? In their May 2020 paper entitled “Breaking Bad Trends”, Ashish Garg, Christian Goulding, Campbell Harvey and Michele Mazzoleni measure impact of turning points on time series momentum strategy performance across… Keep Reading

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.

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

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

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.

In reaction to “Federal Reserve Holdings and the U.S. Stock Market”, a subscriber suggested analysis of market reactions to announcements (starts/ends) of major Federal Reserve System interventions, such as the series of quantitative easing (QE) initiatives. Reactions to such announcement should precede changes in actual holdings. To investigate, we look at cumulative returns of SPDR… Keep Reading

Are investors willing to pay for easy access to leverage? In the April 2020 version of their draft paper entitled “Embedded Leverage”, Andrea Frazzini and Lasse Pedersen investigate the relationship between the leverage of a financial asset (absolute percentage price change per one percent change in the underlying) and its return. They consider equity index… Keep Reading