Investing Research Articles

…evidence from simple tests on limited samples supports a belief that a strategy employing long-term simple moving average crossing signals to enter and exit equities may outperform a buy-and-hold strategy, depending on market conditions and the level of trading frictions/fees.

This sample is far too small for a Guru Grades-type review.

Some considerations that might make these results seem less than stunning are…

It is arguable that both momentum investing (trend-following, such as Decision Moose) and value investing (valuation-implied mispricing, such as Magic Formula Investing) are timing approaches at different horizons.

…financial advisors may be able to improve advisee satisfaction by refining the typical approach to risk tolerance measurement and accommodation. The self-advised can apply such refinement to themselves.

…evidence indicates that decomposition of valuation ratios into long-term trends and shorter-term (business cycle) variations may substantially enhance their abilities to predict stock market returns.

…evidence from limited tests suggests that ETF pair trading based on relative returns/volatilities may outperform simple passive benchmarks.

…evidence indicates that short sellers are on average skilled public information processors, successfully discriminating between future underperformers and outperformers, with exploitation concentrated after several categories of news releases.

…evidence indicates that U.S. stock market returns may be significantly predictable during economic and political crises, but not during market bubbles and crashes. Investor misreaction to crises, not economic fundamentals, appear to drive stock return predictability.

…evidence suggests that investors may be able to exploit market volatility derived from forward-looking (implied volatility) measures, especially the persistent diffusion volatility component.