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Investing Research Articles

2773 Research Articles

The Post-publication Value Premium

Does the value premium for U.S. stocks, as measured by book-to-market ratio, persist after its initial discovery/publication in 1992? In their January 2020 paper entitled “The Value Premium”, Eugene Fama and Kenneth French assess whether the value premium in the U.S. declines or disappears in a post-publication sample that is as long as the discovery… Keep Reading

Bonds During the Off Season?

As implied in “Mirror Image Seasonality for Stocks and Treasuries?”, are bonds better than stocks during the “Sell-in-May” months of May through October? Are behaviors of government, corporate investment grade and corporate high-yield bonds over this interval similar? To investigate, we test seasonal behaviors of: SPDR S&P 500 (SPY) Vanguard Intermediate-Term Treasury (VFITX) Fidelity Investment Grade… Keep Reading

SACEVS and SACEMS from a European Perspective

A European subscriber asked about the effect of the dollar-euro exchange rate on the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we each month adjust the gross returns for these strategies for the change in the dollar-euro exchange rate that month. We consider all strategy… Keep Reading

Pick Stocks of Firms that Tweet a Lot?

Are firms that engage the public via Twitter more expanding (via exposure) or shrinking (via adverse social media frenzy) their opportunity sets? In their January 2020 paper entitled “The Social Media Risk Premium”, Amin Hosseini, Gergana Jostova, Alexander Philipov and Robert Savickas investigate relationships between firm Twitter activity and stock return. Their data include firm… Keep Reading

Weekly Summary of Research Findings: 2/24/20 – 2/28/20

Below is a weekly summary of our research findings for 2/24/20 through 2/28/20. 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.

Update on Shorting Leveraged ETF Pairs

“Monthly Rebalanced Shorting of Leveraged ETF Pairs” finds that shorting some pairs of leveraged ETFs may be attractive. How has the strategy worked recently and how sensitive are findings to execution costs? To investigate, we consider three pairs of monthly reset equal short positions in: ProShares Ultra S&P500 (SSO) and ProShares UltraShort S&P500 (SDS) ProShares… Keep Reading

Effects of Execution Delay on SACEVS

How does execution delay affect the performance of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS)? These strategies each month allocate funds to the following asset class exchange-traded funds (ETF) according to valuations of term, credit and equity risk premiums, or to cash if no premiums are undervalued: 3-month Treasury bills (Cash) iShares… Keep Reading

Best Bear Market Asset Class?

A subscriber asked which asset (short stocks, cash, bonds by subclass) is best to hold during equity bear markets. To investigate, we consider two ways to define a bear market: (1) months when SPDR S&P 500 (SPY) is below its 10-month simple moving average (SMA10) at the end of the prior month; and, (2) months… Keep Reading

Commercial and Industrial Credit as a Stock Market Driver

Does commercial and industrial (C&I) credit fuel business growth and thereby drive the stock market? To investigate, we relate changes in credit standards from the Federal Reserve Board’s quarterly Senior Loan Officer Opinion Survey on Bank Lending Practices to future U.S. stock market returns. Presumably, loosening (tightening) of credit standards is good (bad) for stocks. The… Keep Reading

Testing the All Weather Portfolio

A subscriber requested a test of Ray Dalio‘s All Weather (AW) portfolio with different rebalancing frequencies, allocated to exchange-traded funds (ETF) as asset class proxies as follows: 30% – Vanguard Total Stock Market (VTI) 40% – iShares 20+ Year Treasury (TLT) 15% – iShares 7-10 Year Treasury (IEF) 7.5% – SPDR Gold Shares (GLD) 7.5% –… Keep Reading