Investing Research Articles

Does an allocation to gold truly protect a portfolio from downside risk? In their April 2023 paper entitled “The Golden Rule of Investing”, Pim van Vliet and Harald Lohre examine downside risks for portfolios of...

Is timing of U.S. equity factors broadly and reliably attractive? In their March 2023 paper entitled “Timing the Factor Zoo”, Andreas Neuhierl, Otto Randl, Christoph Reschenhofer and Josef Zechner analyze effectiveness of 39 timing signals...

Below is a weekly summary of our research findings for 4/10/23 through 4/14/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Can expert financial advisors beat the market? ChatGPT responds:

Can surveys of various expert and inexpert groups usefully predict stock market returns? In their March 2023 paper entitled “How Accurate Are Survey Forecasts on the Market?”, Songrun He, Jiaen Li and Guofu Zhou assess...

In late 2021, Kiplinger “used TipRanks data to unveil the crème de la crème, as viewed by Wall Street’s analyst community. Each stock currently earns a consensus Strong Buy rating based on opinions from analysts...

In his 2007 book The Little Book That Makes You Rich: A Proven Market-Beating Formula for Growth Investing, expert Louis Navellier hypothesizes that growth (value) stocks tend to do relatively better when interest rates are...

Below is a weekly summary of our research findings for 4/3/23 through 4/6/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked about practical exploitation of the hypothesis that the high and low of an exchange-traded fund (ETF) during 9:30AM-10:30AM are informative about its high and low during 10:31AM-4PM. To investigate, we obtain minute-by-minute open,...

How does the U.S. stock return factor zoo, corrected for data snooping bias, change over time? In their March 2023 draft paper entitled “Useful Factors Are Fewer Than You Think”, Bin Chen, Qiyang Yu and...

Is model complexity (large number of parameters) more an analytical benefit in predicting asset returns, or more an avenue to discover in-sample luck? In their March 2023 paper entitled “Complexity in Factor Pricing Models”, Antoine...

Below is a weekly summary of our research findings for 3/27/23 through 3/31/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked about backtesting two alternatives to equal weight (EW) for the Simple Asset Class ETF Momentum Strategy (SACEMS) Top 2 and Top 3 portfolios, as follows: Fixed Weighted: For Top 2, 66% allocation...

Do hedge funds rapidly move to exploit, and thereby weaken/extinguish, newly discovered stock return anomalies? In the December 2022 version of their paper entitled “Anomaly Discovery and Arbitrage Trading”, Xi Dong, Qi Liu, Lei Lu,...

Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI...

Are their practical ways to suppress the sometimes large reduction in academic (gross) equity factor premiums due to trading frictions and other implementation obstacles? In their March 2023 paper entitled “Smart Rebalancing”, Robert Arnott, Feifei...

Below is a weekly summary of our research findings for 3/20/23 through 3/24/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does the difference in individual stock/market return relationships between good times (relatively low correlations) and bad times (relatively high correlations) present an easy and efficient way to hedge against stock market crashes (tail risk)? In...

A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares...

A subscriber proposed using Minervini Trend Template criteria to time broad U.S. stock market proxies such as SPDR S&P 500 ETF Trust (SPY). Specifically, use leveraged versions of SPY when SPY meets the following seven...

Do good firm environmental, social and governance (ESG) ratings signal attractive stock returns? If so, what is the best way to exploit the signals? In their February 2023 paper entitled “Quantifying the Returns of ESG...

Below is a weekly summary of our research findings for 3/13/23 through 3/17/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper...

Can machine learning perfect equity sector rotation? In the January 2023 version of their paper entitled “Deep Sector Rotation Swing Trading”, flagged by a subscriber, Joel Bock and Akhilesh Maewal present a sector rotation strategy...

Below is a weekly summary of our research findings for 3/6/23 through 3/10/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...