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Value Investing Strategy (Strategy Overview)

Allocations for May 2022 (Final)
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Momentum Investing Strategy (Strategy Overview)

Allocations for May 2022 (Final)
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Investing Research Articles

3151 Research Articles

Simple Stock Index Option Strategies

Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of: CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) andCBOE S&P 500 95-110 Collar Index (CLL), withS&P 500 Total Return Index (SPTR) as a benchmark. Invesco S&P 500 BuyWrite ETF (PBP),… Keep Reading

Weekly Summary of Research Findings: 5/2/22 – 5/6/22

Below is a weekly summary of our research findings for 5/2/22 through 5/6/22. 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.

Testing the Equity Mutual Fund Liquidity Ratio

…evidence from a simple test on a small sample supports belief that the aggregate equity mutual fund liquidity ratio has some power to predict future stock market returns.

Interaction of Long-only Value and Size

Does the finding from long-short factor analysis that the value premium is stronger among small stocks than large stocks hold for long-only value portfolios? In his April 2022 paper entitled “Long-Only Value Investing: Does Size Matter?”,  Jack Vogel investigates interactions between the value premium and market capitalization for U.S. and international stocks. The steps in… Keep Reading

Performance of Mechanical U.S. Stock Momentum ETFs

Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled “A Look Under the Hood of Momentum Funds”, Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock momentum funds. To measure performance uncontaminated by discretionary stock picking and portfolio construction methods, they focus on mechanical (passive) momentum… Keep Reading

Best Equity Risk Premium

What are the different ways of estimating the equity risk premium, and which one is best? In the April 2022 revision of his paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2022 Edition”, Aswath Damodaran updates a comprehensive overview of equity risk premium estimation and application. He examines why different approaches… Keep Reading

Gold Return vs. Change in M2

A subscriber requested confirmation of the following relationship between U.S. M2 Money Stock and gold offered in “Why Gold May Be Looking Cheap”: “[O]ne measure I’ve found useful is the ratio of the price of gold to the U.S. money supply, measured by M2, which includes cash as well as things like money market funds,… 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 April 2022.

Weekly Summary of Research Findings: 4/25/22 – 4/29/22

Below is a weekly summary of our research findings for 4/25/22 through 4/29/22. 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.

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 May 2022. SACEMS allocations are unlikely to change by the close. SACEVS Weighted allocations could shift modestly.