Investing Research Articles

It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represent a good diversification opprotunity. To check, we add iShares Barclays 7-10 Year Treasury (IEF) to the following mix of asset class proxies (the same used in “Simple Asset Class… Keep Reading

A subscriber suggested testing the diversification power of exchange-traded aggregations of U.S. pipeline Master Limited Partnerships, such as JPMorgan Alerian MLP Index ETN (AMJ), as a distinct asset class. To check, we add AMJ to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares… Keep Reading

It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represents a good diversification opportunity. To check, we add the United States Oil Fund (USO) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF… Keep Reading

A subscriber suggested testing the diversification power of iPath DJ-UBS Copper ETN (JJC) as a distinct asset class. To check, we add JJC to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR Gold Shares (GLD)iShares Russell 1000 Index (IWB)iShares… Keep Reading

Does adding a proxy for the least developed (frontier) equity markets to a diversified portfolio improve its performance? To check, we add Guggenheim Frontier Markets ETF (FRN) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR… Keep Reading

Market volatility tends to rise as returns fall. Does adding a proxy for intermediate-term U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Mid-Term Futures (VXZ) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity… Keep Reading

Market volatility tends to rise as returns fall. Does adding a proxy for short-term U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Short Term Futures (VXX) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB… Keep Reading

Can investors rely on commodities to protect against inflation? In their May 2013 paper entitled “Commodities as Inflation Protection”, Andrew Marks, George Crawford and Jim Kyung-Soo Liew examine the belief that commodities represent an intrinsic store of value that hedges against inflation. They use spot prices for commodities because these prices have long histories. They use… Keep Reading

Does adding fundamental firm quality metrics to refine stock sorts based on traditional value ratios, book-to-market ratio (B/M) and earnings-to-price ratio (E/P), improve portfolio performance? In his 2013 paper entitled “The Quality Dimension of Value Investing”, Robert Novy-Marx tests combination strategies to determine which commonly used quality measures most enhance the performance of value ratios. He… Keep Reading

Should investors regard any of the exchange-traded products (ETP) based on S&P 500 Index option-implied volatility (VIX) futures as long-term holdings? In the May 2013 draft of his paper entitled “Trading Volatility: At What Cost?”, Robert Whaley describes these ETPs and evaluates them as buy-and-hold investments. VIX ETPs are based on VIX futures indexes with daily rebalancing,… Keep Reading