Investing Research Articles

Inflation at the producer level (per the Producer Price Index, PPI) is arguably an advance indicator for inflation downstream at the consumer level (per the Consumer Price Index, CPI). Do investors reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is a high (low) producer-level inflation… Keep Reading

While prior research indicates that analyst forecasts of future stock returns are substantially biased upward, might the relative rankings of return forecasts be informative? In their June 2023 paper entitled “Analysts Are Good at Ranking Stocks”, Adam Farago, Erik Hjalmarsson and Ming Zeng apply within-analyst 12-month stock price targets to rank stocks in two ways: Average… Keep Reading

Below is a weekly summary of our research findings for 8/14/23 through 8/18/23. 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.

Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly: 50-50 Best Value – EW Top 2: SACEVS Best Value paired with SACEMS Equally… Keep Reading

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging Markets Index… Keep Reading

A subscriber requested comparison of four variations of an “Ivy 5” asset class allocation strategy, as follows: Ivy 5 EW: Assign equal weight (EW), meaning 20%, to each of the five positions and rebalance annually. Ivy 5 EW + SMA10: Same as Ivy 5 EW, but take to cash any position for which the asset… Keep Reading

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading

Below is a weekly summary of our research findings for 8/7/23 through 8/11/23. 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.

What conditions affect the correlation between stock and bond returns, a critical input to asset allocation decisions? In their July 2023 paper entitled “Empirical Evidence on the Stock-Bond Correlation”, Roderick Molenaar, Edouard Senechal, Laurens Swinkels and Zhenping Wang relate changes in this correlation to economic variables and analyze the implications of such changes for stock-bond… Keep Reading

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