Investing Research Articles

Can machine learning exploit interactions between many equity factors and many potential factor return predictors to create an attractive factor timing strategy? In their August 2024 paper entitled “Optimal Factor Timing in a High-Dimensional Setting”, Robert Lehnherr, Manan Mehta and Stefan Nagel apply machine learning with mean-variance optimization to time equity factors when the numbers… Keep Reading

…data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.

Below is a weekly summary of our research findings for 9/23/24 through 9/27/24. 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.

Can researchers train machine learning models to mimic top mutual fund managers? In his August 2024 paper entitled “Machine Learning from the Best: Predicting the Holdings of Top Mutual Funds”, Jean-Paul van Brakel seeks to anticipate and exploit the stock picking of top-performing U.S. equity mutual fund managers by: Using a large set of holdings-based… Keep Reading

The Trading Calendar looks at S&P 500 Index behaviors over the calendar year, finding some consistent patterns. Are there any comparable insights from movements of the U.S. Treasury 10-year constant maturity note (T-note) yield over the calendar year? To investigate, we track T-note yield and cumulative change in T-note yield by business day over all… Keep Reading

Some experts interpret stock market return volatility as an indicator of investor sentiment, with high (low) volatility indicating ascendancy of fear (greed). Volatility of volatility (VoV) would thus indicate uncertainty in investor sentiment. Does the risk associated with this uncertainty depress stock prices and thereby predict strong stock market returns? To investigate, we consider two… Keep Reading

Does an elaborate firm valuation model outperform the blunt instrument of a simple ratio? In their July 2024 paper entitled “Intrinsic Value: A Solution to the Declining Performance of Value Strategies”, Derek Bergen, Francesco Franzoni, Daniel Obrycki and Rafael Resendes model the intrinsic value of a stock, defined as book value of equity plus the… Keep Reading

Below is a weekly summary of our research findings for 9/16/24 through 9/20/24. 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.

How has the immediate price impact associated with a stock entering or leaving the S&P 500 evolved? In the March 2024 revision of their paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon revisit abnormal returns during the trading day after S&P 500 additions and deletions and investigate four potential drivers of findings…. Keep Reading

Do stock markets following predictable long boom and bust periods? In the August 2024 draft of their paper entitled “The Anatomy of Lost Stock Market Decades”, Todd Feldman and Brian Yang examine the regularity/frequency of bull periods (strong gains) and lost periods (no gains) of at least 10 years. They also test two metrics to… Keep Reading