Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for October 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for October 2021 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research

Investing Research Articles

3059 Research Articles

Retail Sales Growth and Stock Market Returns

Do monthly retail sales data reliably predict U.S. stock market behavior? To investigate, we relate monthly change in retail sales to monthly S&P 500 Index return. We consider both seasonally adjusted (SA) and non-seasonally adjusted (NSA) retail sales series, as compiled by the the U.S. Census Bureau. Using monthly levels of retail sales and the… Keep Reading

SACEMS, SACEVS and Trading Calendar Updates

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for September 2021.

Preliminary SACEMS and SACEVS Allocation Updates

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for October 2021. SACEVS allocations probably will not change by the close. However, the SACEMS competition is tight for ranks 2-4, and rankings could change by the close.

In Search of the Bear?

Is intensity of public interest in a “bear market” useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for “bear market” and relate this series to monthly S&P 500 Index returns. For comparison with the “investor fear gauge,” we also relate search data to monthly CBOE option-implied… Keep Reading

Testing a 2-12 Asset Class Absolute Momentum Strategy

A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise iShares 1-3 Year Treasury Bond (SHY). iShares MSCI ACWI (ACWI) to represent all-world equities if its past 2-month and 12-month returns… Keep Reading

Do Any Sector ETFs Reliably Lead or Lag the Market?

Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR) exchange traded funds (ETF): Materials Select Sector SPDR (XLB) Energy Select… Keep Reading

Aggregate Account Debt/Credit as Stock Market Indicators

“Margin Debt as a Stock Market Indicator” investigates whether NYSE margin debt predicts future stock market returns. Since updates to this variable are not available, we instead consider the following three aggregate monthly investment account metrics from the Financial Industry Regulatory Authority (FINRA) as alternative margin-related indicators of investor sentiment: Margin account debt (aggressive use… Keep Reading

Weekly Summary of Research Findings: 9/20/21 – 9/24/21

Below is a weekly summary of our research findings for 9/20/21 through 9/24/21. 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.

Bitcoin Day-of-the-Week Effects?

Unlike publicly traded assets generally, investors/speculators can buy and sell bitcoin any day of the week. Do bitcoin returns exhibit anomalies by day of the week, perhaps especially because of weekend trading? To investigate, we calculate (1) average returns and return variabilities for each day of the week; and, (2) gross cumulative returns for holding… Keep Reading

Are Hedge Fund ETFs Working?

Are hedge fund-oriented strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six ETFs, all but one currently available (in order of inception dates): IQ Hedge Multi-Strategy Tracker (QAI) – seeks to track, before fees and expenses, risk-adjusted returns of a collection of long/short equity, global macro, market neutral, event-driven, fixed income arbitrage and… Keep Reading