Investing Research Articles

A subscriber asked for an update on the effectiveness of applying a two-period Relative Strength Index, RSI(2), to leveraged exchange-traded funds (ETF), with two pairs of trade entry (oversold) and exit (overbought) settings: Buy when RSI(2) falls below 10 and sell when it subsequently rises over 90 (10-90). More conservatively, buy when RSI(2) falls below 5 and exit when it subsequently rises… Keep Reading

What are ways to mitigate biases that interfere with rational investment decision-making? In their September 2019 paper entitled “The Psychology of Financial Professionals and Their Clients”, Kent Baker, Greg Filbeck and Victor Ricciardi describe common psychological biases and suggest ways to overcome them. Based on their knowledge and experience, they conclude that:

When media recommend stocks, should investors pay attention? To check, we look at performance of stock recommendations for 2019 from December 2018 articles in several publications. Specifically, we test: 10 buy recommendations from InvestorPlace published 12/13/2018. 19 buy recommendations from Kiplinger published 12/7/2018. 8 buy recommendations from Motley Fool published 12/13/2018, 12/21/2018 and 12/22/2018. 10… Keep Reading

Does careful accounting for transitory expenses in SEC Form 10-Ks provide a better view of future firm/stock performance than that provided by Generally Accepted Accounting Practices (GAAP) earnings per share (EPS)? In their October 2019 paper entitled “Core Earnings: New Data and Evidence”, Ethan Rouen, Eric So and Charles Wang define Core Earnings, which adds… Keep Reading

Below is a weekly summary of our research findings for 11/4/19 through 11/8/19. 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.

A subscriber inquired whether “The Only Indicator You Will Ever Need” really works. This technical indicator, a form of the Coppock Guide (or curve or indicator), applied to the Dow Jones Industrial Average by Jay Kaeppel, is a multi-parameter composite based on monthly closes as follows: Calculate the asset’s return over the past 11 months…. Keep Reading

The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks the one, two or three of nine asset class proxies with the highest cumulative total returns over a specified lookback interval. A subscriber proposed instead using the optimal intrinsic (time series or absolute) momentum lookback interval for each asset rather than a common lookback… Keep Reading

A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving average (SMA10) for the broad U.S. stock market. The trend is positive (negative) when the market is above (below) its… Keep Reading

Below is a weekly summary of our research findings for 10/28/19 through 11/1/19. 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.

A reader asked about the usefulness of the S&P Short-range Oscillator as sometimes used by Jim Cramer to forecast U.S. stock market returns. The self-reported “Performance” of the oscillator, relying on in-sample visual inspection with snooped thresholds, is of small use. Since continuous historical values of the indicator are not publicly available, we conduct an… Keep Reading