Investing Research Articles

A subscriber proposed a simple test of the concept underlying the First Trust Dorsey Wright Focus 5 ETF (FV). This exchange-traded fund (ETF) intends to track the Dorsey Wright Focus Five Index, an equally weighted and weekly reformed portfolio of the five First Trust sector and industry ETFs with the highest price momentum according to the Dorsey, Wright… Keep Reading

The deadline for submission of papers for the 2015 Charles H. Dow Award, presented by the Market Technicians Association (MTA), is January 5, 2015. MTA established this award in 1994 to recognize outstanding research in technical analysis. The Award carries a prize of $5,000 and the opportunity to present the winning paper at the April 2015 MTA Gala… Keep Reading

Are changes in the money supply usefully predictive of stock market behavior? In his September 2014 paper entitled “Does Money Supply Growth Contain Predictive Power for Stock Returns?”, David McMillan investigates whether changes in U.S. money supply reliably affect future U.S. stock market returns. He examines also whether any predictive power of money supply growth is independent of dividend… Keep Reading

Do stock pairs that track in the past reliably track in the future? In his January 2014 paper entitled “On the Persistence of Cointegration in Pairs Trading”, Matthew Clegg assesses the persistence of cointegration among pairs of liquid U.S. stocks. Specifically, he investigates whether pairs of equities that are cointegrated in an initial interval are likely to be cointegrated in… Keep Reading

Are there times when investors should avoid low-volatility stocks? In their August 2014 paper entitled “Tactical Timing of Low Volatility Equity Strategies”, Sanne De Boer and James Norman investigate which factors predict the performance of low-volatility stocks relative to a capitalization-weighted index globally since 1980. They focus on two concerns: (1) will low-volatility stocks perform poorly when they… Keep Reading

Is the Turn-of-the-Month (TOTM) effect globally ubiquitous and persistent? In his August 2014 paper entitled “The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model”, Eleftherios Giovanis examines the TOTM effect in 20 country stock markets spanning the Americas, Australia, Europe and Asia. He defines TOTM as the interval including the last trading day of… Keep Reading

Does playing trends both ways via periodic rebalancing (betting on reversion) and momentum (betting on continuation) reliably produce attractive outcomes? In the August 2014 version of their paper entitled “Rebalancing Risk”, Nick Granger, Doug Greenig, Campbell Harvey, Sandy Rattray and David Zou investigate the effects of adding a momentum overlay to a conventionally rebalanced stocks-bonds portfolio…. Keep Reading

Should investors seeking leveraged positions in gold prefer futures or leveraged exchanged-traded funds (ETF)? In their August 2014 paper entitled “Price Dynamics of Gold Futures and Gold Leveraged ETFs”, Tim Leung and Brian Ward compare the price evolutions of spot gold, gold futures and leveraged gold ETFs. They use the XAU-USD gold-U.S. dollar exchange rate as the… Keep Reading

Is a position in gold consistently effective in protecting a portfolio of conventional assets? In the August 2014 preliminary version of their paper entitled “Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon”, Don Bredin, Thomas Conlon and Valerio Potì examine the hedging, safe-haven and downside risk… Keep Reading

Does the stock momentum anomaly interact with the quarterly financial cycle? In his August 2014 paper entitled “Seasonal Patterns in Momentum and Reversal in the U.S. Stock Market: The Consequences of Tax-Loss Sales and Window Dressing”, David Brown examines whether tax-loss selling and window dressing at the ends of calendar quarters affect U.S. stock momentum strategy returns…. Keep Reading