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3470 Research Articles

The COTs Timer Trading System

…testing indicates that the COTs Timer trading system for the S&P 500 index as presently specified exhibited strong outperformance during 1996-2002, but not over the last five years.

Seasonal Environmental Factors and Perceived Risk

…traders may be able to exploit predictable seasonal changes in implied volatility that derive from the effects of investor mood on perceived risk and not from variations in actual risk.

Success for Collaborating Individual Active Traders?

…individual active traders on average may be able to beat the market when collaborating on trading methods and opportunities.

Trading After N-day Highs and Lows

Is there a predictable market reaction to stocks reaching round-number n-day highs and lows? In their November 2007 paper entitled “Highs and Lows: A Behavioral and Technical Analysis”, Bruce Mizrach and Susan Weerts investigate whether there are systematic trading behaviors for stocks posting 10-day, 25-day, 50-day, 100-day, 150-day, 200-day and 52-week highs and lows. Using… Keep Reading

Lenny Dykstra at Bat

…Lenny Dykstra’s deep-in-the-money call options (leveraged) strategy depends more on pure volatility and favorable market conditions than on skill in timing the movements of the underlying stocks. A substantial, multi-month market decline could cause the strategy to crash, seriously impacting long-term return on investment.

Momentum and Contrarian Commodity Futures Returns

…commodity futures long-short momentum strategies may offer both good average returns and effective diversification of a stocks/bonds portfolio.

Classic Paper: Returns from Commodity Futures

We occasionally select for retrospective review an all-time “best selling” research paper from the past few years from the General Financial Markets category of the Social Science Research Network (SSRN). Here we summarize the January 2006 paper entitled “The Tactical and Strategic Value of Commodity Futures” (download count over 2,400) by Claude Erb and Campbell… Keep Reading

Outperformance of High-Yield Stocks in the UK

…evidence from this UK study supports a belief that a portfolio of stocks with high dividend yields outperforms the broad market most of the time.

The Outperformance of (Truly) New Hedge Funds

…hedge funds that are truly new offer investors notable average outperformance for the first couple of years. However, funds that back fill prior performance data when they first start reporting appear to have already “used up” their startup alpha.

Institutional Trading, Returns and Strength of Anomalies

…evidence suggests that stocks with low institutional trading activity (distinct from institutional ownership) tend to be overpriced, with amplified return anomalies.