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Investing Research Articles

2862 Research Articles

Distinct and Predictable U.S. and ROW Equity Market Cycles?

A subscriber asked: “Some pundits have noted that U.S. stocks have greatly outperformed foreign stocks in recent years. What does the performance of U.S. stocks vs. foreign stocks over the last N years say about future performance?” To investigate, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and… Keep Reading

Relative Sentiment plus Machine Learning for Stock Market Timing

Do economic expectations of sophisticated investors relative to those of unsophisticated investors predict stock market returns? In the September 2020 revision of his paper entitled “Relative Sentiment and Machine Learning for Tactical Asset Allocation”, flagged by a subscriber, Raymond Micaletti investigates use of relative Sentix sentiment for tactical asset allocation. He each month constructs relative… Keep Reading

Active Investment Managers and Market Timing

Do active investment managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors. “NAAIM member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day… Keep Reading

AAII Investor Sentiment as a Stock Market Indicator

Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII) via a weekly survey of members. This survey asks AAII members each week (Thursday through Wednesday): “Do you feel the… Keep Reading

Weekly Summary of Research Findings: 9/8/20 – 9/11/20

Below is a weekly summary of our research findings for 9/8/20 through 9/11/20. 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.

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for August 2020. The actual total (core) inflation rate is higher than (higher than) forecasted.

Stock Market and the National Election Cycle

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading

SACEMS with Three Copies of Cash

Subscribers have questioned selecting assets with negative past returns within the “Simple Asset Class ETF Momentum Strategy” (SACEMS). Inclusion of Cash as one of the assets in the SACEMS universe of exchange-traded funds (ETF) prevents the SACEMS Top 1 portfolio from holding an asset with negative past returns. To test full dual momentum versions of… Keep Reading

When Institutional Investors Seek Safety

How do mutual funds and hedge funds change their stock holdings in response to a sharp market crash? In their July 2020 paper entitled “Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from COVID-19”, Simon Glossner, Pedro Matos, Stefano Ramelli and Alexander Wagner analyze changes in institutional and retail stock holdings during the… Keep Reading

Allocations and Returns of Endowments

How do U.S. non-profit endowment funds allocate and perform? In their November 2019 paper entitled “The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds”, Andrew Lo, Egor Matveyev and Stefan Zeume examine recent asset allocations and investment returns of U.S. public non-profit endowment funds. Due to the unstructured nature of asset reporting, they manually… Keep Reading