Investing Research Articles

Is the price of gold too high? In their May 2024 paper entitled “Is There Still a Golden Dilemma?”, Claude Erb and Campbell Harvey revisit their golden dilemma, the tug of war between dueling ideas: A high price for gold today presages low future return. The higher the price of gold today, the rosier its… Keep Reading

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider nine momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco Dorsey Wright Momentum ETF (PDP) – invests at least 90% of assets in approximately 100 U.S. common stocks per a proprietary methodology… Keep Reading

After seeing “Review of the Quantified Market Psychology Strategy”, reader Steve Ruoff requested review of his U.S. Treasuries timing strategy as recorded at Timertrac (Duration Strategy), which approximately every four weeks generates allocations to: Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD); Direxion Daily 7-10 Year Treasury Bear 3X Shares (TYO); and cash, for which… Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Below is a weekly summary of our research findings for 5/13/24 through 5/17/24. 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 asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

What does the body of research say about implications of new social media for financial markets? In their April 2024 paper entitled “Social Media and Finance”, Anthony Cookson, William Mullins and Marina Niessner survey research on social media in finance, distinguishing between research using social media to explore investor behaviors and research on the effects… Keep Reading

“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances since inception of two exchange-traded note (ETN) offerings: ETRACS IFED Invest with the Fed TR Index ETN (IFED), with SPDR… Keep Reading

Does Federal Reserve (Fed) policy strongly and differently affect individual stock? In his April 2024 paper entitled “Navigating Federal Reserve Policy with IFED”, Rufus Rankin analyzes performance of the Invest With the Fed (IFED) stock selection strategy, which selects portfolios positioned to prosper across environments signaled by Fed actions. Specifically, the strategy selects individual equities… Keep Reading

What are the different ways of estimating the equity risk premium, and which one is best? In the March 2024 update of his paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2024 Edition”, Aswath Damodaran updates a comprehensive overview of equity risk premium estimation. He examines why different approaches to estimating… Keep Reading