Investing Research Articles

“Countercyclical Asset Allocation Strategy” summarizes research on a simple countercyclical asset allocation strategy that systematically raises (lowers) the allocation to an asset class when its current aggregate allocation is relatively low (high). The underlying research is not specific on calculating portfolio allocations and returns. To corroborate findings, we use annual mutual fund and exchange-traded fund (ETF) allocations… Keep Reading

Is industry trend-following an attractive strategy over the long run? In their June 2024 paper entitled “A Century of Profitable Industry Trends”, Carlo Zarattini and Gary Antonacci evaluate the long-term performance of a long-only industry trend-following (Timing Industry) strategy, modeled as follows: Entry – buy an industry when its daily closing price crosses above the… Keep Reading

Is copper price a reliable leading indicator of economic activity and therefore of future corporate earnings and equity prices? To investigate, we employ the monthly price index for copper base scrap from the U.S. Bureau of Labor Statistics, which spans multiple economic expansions and contractions. Using monthly levels of the copper scrap price index and… Keep Reading

Below is a weekly summary of our research findings for 6/24/24 through 6/28/24. 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.

Is the Buffett Indicator, the ratio of total U.S. stock market capitalization (proxied by Wilshire 5000 Total Market Index W5000) to U.S. Gross Domestic Product (GDP), a useful indicator of future U.S. stock market performance? W5000/GDP clearly has no stable average value over its available history (see the first chart below), so the level of the… Keep Reading

Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They first perform regression tests to evaluate abilities of same-day and other-day past returns to predict day-of-the-week momentum. They then evaluate… Keep Reading

Are the industry membership of a firm, as designated by Standard Industrial Classification (SIC) code, and the position of the firm within its industry good predictors of the performance of its stock? In their May 2024 paper entitled “Decoding Cross-Stock Predictability: Peer Strength versus Firm-Peer Disparities”, Doron Avramov, Shuyi Ge, Shaoran Li and Oliver Linton… Keep Reading

Below is a weekly summary of our research findings for 6/17/24 through 6/21/24. 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.

What happens to retail investor performance when brokers make trading apps game-like (gamification)? In his June 2024 paper entitled “Gamification of Stock Trading: Losers and Winners”, Eduard Yelagin examines how traders react to injections of gamification in mobile trading apps offered by major U.S. brokers. For each app update, he reviews developer notes about its… Keep Reading

A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one (Top 1),  equal-weighted top two (EW Top 2) and equal-weighted top three (EW Top 3) versions of SACEMS: Identify the… Keep Reading