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3527 Research Articles

Jim Cramer’s Gaps and Reversals

…Jim Cramer’s buy (sell) recommendations tend to gap up (down) overnight to a degree inverse to market capitalization and then level off or reverse over the next few weeks. In general, investors cannot capture the gaps. The best play for traders is to buy Cramer-initiated small-cap sell recommendations within a few days and wait for reversal over the next few weeks.

Total Bob Doll

We evaluate here the weekly commentary of Merrill Lynch’s Bob Doll from January 2003 (the earliest available) through September 2006. Bob Doll was President and CIO of Merrill Lynch Investment Managers, the firm’s asset management arm. With the October 2006 merger of this group with Blackrock Inc., Mr. Doll’s commentary for Merrill Lynch is discontinued. The… Keep Reading

A Five-Factor Model of Differences in Stock Returns

…a five-factor model effectively explains differences among individual stock returns, with volatility of past returns at least as important as size, value and momentum factors.

No Fire Exit at the Overcrowded Hedge Fund Party?

…hedge funds may be more risky than their quantitative strategies indicate because the strategies do not account for the effects of fund growth, proliferation of similar funds and increased leverage. The hedge fund party may have become so crowded that, when someone yells “Fire!”, the exit door cannot handle the computer-driven panic.

Characteristics of Persistently Outperforming Hedge Funds

…hedge funds that conservatively smooth out market bumps with minimal net exposure to equities and mid-range returns tend to be the most reliable outperformers.

Anger Management Training for Traders?

…traders should care strongly about their trading, focus on understanding any negative emotions they experience while trading, and work hard to prevent emotions from affecting their risk management practices.

The Disconnected Federal Funds Rate?

…by trying to make the Federal Funds Rate lead rather than respond to economic fundamentals, the Federal Reserve causes a disconnect between short-tem and long-term interest rates.

Crude Oil Price and Energy Sector ETF Returns

…although energy sector ETFs track the price of crude oil fairly well over long periods during 1999-2007, short-term variations in the two series are only slightly related.

Crude Oil Price and Stock Returns

…while a dramatic move up (down) in the price of crude oil represents a modest near-term headwind (tailwind) for the overall stock market, oil price is generally not a good predictor of stock market behavior.

The Out-of-Country Experiences of Individual U.S. Investors

…international diversification as implemented by individual U.S. investors on average neither compensates for bad investing/trading practices nor dramatically enhances good ones. While sophisticated investors generally improve returns and (especially) reduce portfolio volatility via positions in foreign equity funds, underperforming investors tend to underutilize or misuse foreign holdings.