Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for April 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for April 2021 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research
New Research Filter

The new filtering tool is a better way to search and order research. With the filter you can:

  • Enter search keywords
  • Select one or multiple categories
  • Filter specific date ranges
  • Sort by relevance, date, and popularity
  • Increase the number of posts per page

Questions or comments? Email [email protected].

Investing Research Articles

2965 Research Articles

Return on Single Family Rentals

What is the total return to U.S. single family (house) rentals? In their February 2021 paper entitled “Total Returns to Single Family Rentals”, Andrew Demers and Andrea Eisfeldt analyze total returns to U.S. single family rentals, decomposed into net rental yield and house price appreciation. To estimate net rental yields, they: Weight city-level gross rental… Keep Reading

The State of Systematic (Algorithmic) Investing

How has systematic investment, with trades generated by rules or algorithms, evolved? What are its strengths and weaknesses? In his February 2021 paper entitled “Why Is Systematic Investing Important?”, Campbell  Harvey summarizes the history, advantages and disadvantage of systematic (algorithmic) investing. Based on the body of research and personal experience, he concludes that:

Stock Market Valuation Ratio Trends

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading

Weekly Summary of Research Findings: 3/29/21 – 4/1/21

Below is a weekly summary of our research findings for 3/29/21 through 4/1/21. 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.

Measuring Crypto-asset Price and Policy Uncertainty

How uncertain are investors about cryptocurrencies, and what drives their collective uncertainty? In their March 2021 paper entitled “The Cryptocurrency Uncertainty Index”, Brian Lucey, Samuel Vigne, Larisa Yarovaya and Yizhi Wang present a Cryptocurrency Uncertainty Index (UCRY) based on news coverage, with two components defined as follows: UCRY Policy -weekly rate of cryptocurrency policy uncertainty news… Keep Reading

SACEMS, SACEVS and Trading Calendar Updates

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for March 2021.

Preliminary SACEMS and SACEVS Allocation Updates

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for April 2021. The top three SACEMS ETFs are unlikely to change by the close. SACEVS allocations may shift slightly with final data.

Impacts of Frictions on Factor Models of Stock Returns

How much does accounting for equity factor portfolio maintenance frictions affect usefulness of factor models of stock returns. In their March 2021 paper entitled “Model Selection with Transaction Costs”, Andrew Detzel, Robert Novy-Marx and Mihail Velikov examine effects of transaction costs on six leading models of stock returns: FF5 – Fama-French 5-factor model (market, size,… Keep Reading

Gas Prices and Future Stock Market Returns

Some experts argue that high (low) gasoline prices mean that consumers must allocate more (less) spending power to fuel, and therefore less (more) to other industries and stocks. Do data support this argument? To check, we relate U.S. stock market returns to changes in U.S. gasoline price changes. Using weekly average retail prices for regular gasoline in… Keep Reading

Consumer Sentiment and Stock Market Returns

Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading