Investing Research Articles

A reader suggested that we evaluate the forecasting prowess of Bill Gross, manager for PIMCO of the world’s largest bond fund. PIMCO describes itself as “one of the largest specialty fixed income managers in the world…” The predictions/recommendations evaluated here extend as far back as February 2000 and come from columns in MarketWatch, CNN/Money and… Keep Reading

…stock betas calculated from historical data vary considerably over short intervals, across calculation methods and across data sources and therefore may be of little or no value as an investment tool.

…evidence indicates that short sellers are on average able to identify both overvalued and undervalued stocks. Investors/traders may be able to exploit the economically large positive future returns of lightly shorted stocks with simple long-only strategies.

…evidence indicates that many sentiment indicators add little or no value to simple price action indicators, but VIX purified of price action contains significant predictive power for future stock market returns. However, price action masks the predictive information contained in raw VIX.

What aggregate return thresholds are critical to investors in deciding whether to accept or reject equity and bonds for investment portfolios? In their December 2008 paper entitled “A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination”, Christophe Faugere and Julian Van Erlach argue that investors first require that U.S. stocks and bonds… Keep Reading

…evidence suggests that the fear-driven gap between option-implied volatility and contemporaneous realized volatility for a broad stock market index may offer investors/traders a small edge in anticipating near-term stock and bond returns.

Do the stock recommendations of guru Jim Cramer on CNBC’s Mad Money move the market? Do they beat the market? In their May 2009 paper entitled “Investing in Mad Money: Price and Style Effects”, Paul Bolster and Emery Trahan examine the market impacts and performances of buy and sell recommendations made by Jim Cramer on… Keep Reading

…limited evidence suggests that simple trend conditions may amplify return anomalies related to the turn of the month and options expiration. As usual monthly variability is fairly large compared to differences in means for monthly segments.

…the Common Sense buy-low/sell-high strategy appears not to be an effective asset allocation approach because it is somewhat out of phase with momentum and value return horizons.

…a very limited test suggests that adding simple moving average signals to asset class momentum investing may enhance returns.