Investing Research Articles

A subscriber requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value, which chooses the asset proxy for the term, credit or equity premium that is most undervalued (if any), use only… Keep Reading

“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their own kind of momentum.” Does momentum therefore work for style-based exchange-traded funds (ETF)? To investigate, we apply… Keep Reading

Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024 paper entitled “Ponzi Funds”, Philippe van der Beck, Jean-Philippe Bouchaud and Dario Villamaina decompose ETF returns into price pressure (self-inflated)… Keep Reading

“Simple Sector ETF Momentum Strategy” investigates performances of simple momentum trading strategies for the following nine sector exchange-traded funds (ETF) executed with Standard & Poor’s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select Sector SPDR (XLE) Financial Select Sector SPDR (XLF) Industrial Select Sector SPDR (XLI) Technology Select Sector SPDR (XLK) Consumer Staples… Keep Reading

A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a bubble candidate as a value-weighted U.S. industry or international sector that rises over 100% in both raw and net of… Keep Reading

Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. 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.

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading

The four iShares Core Asset Allocation exchange-traded funds (ETF) offer exposures to U.S. stocks, global stocks and bonds semiannually rebalanced to fixed weights, as follows. iShares Core Conservative Allocation (AOK) – 30% stocks and 70% bonds (30-70). iShares Core Moderate Allocation (AOM) – 40% stocks and 60% bonds (40-60). iShares Core Growth Allocation (AOR) –… Keep Reading

A subscriber asked for confirmation that the strategy described at “Meb Faber’s 12-Month High Switch” (the strategy) is attractive. This strategy at each monthly close: Calculates the 12-month high for: SPDR S&P 500 ETF Trust (SPY), iShares MSCI EAFE ETF (EFA), Vanguard Real Estate Index Fund ETF Shares (VNQ), SPDR Gold Shares (GLD) and Invesco… Keep Reading

Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of eight ESG ETFs, all currently available, to those of simple and liquid benchmark ETFs, as follows: iShares MSCI USA ESG Select ETF (SUSA), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading