Investing Research Articles

Do extreme equity market valuations represent opportunities in value stocks? In their October 2020 paper entitled “Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium”, Stefano Cassella, Zhaojing Chen, Huseyin Gulen and Ralitsa Petkova test the hypothesis that extrapolating (momentum) investors bid up growth stocks in good times and bid down value stocks in… Keep Reading

Target-date funds (TDFs) are popular fund-of-funds retirement investments that offer asset class diversification and periodic rebalancing aimed at a specific retirement year. TDFs typically charge layers of fees (fund-of-funds fee plus fees of underlying funds). Can investors do better themselves? In their October 2020 paper entitled “Off Target: On the Underperformance of Target-Date Funds”, David… Keep Reading

Below is a weekly summary of our research findings for 12/7/20 through 12/11/20. 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.

Is Bitcoin beginning to displace gold as a U.S. dollar hedge? To investigate, we look at rolling correlations of returns for the following pairs of exchange-traded funds (ETF): Grayscale Bitcoin Trust (GBTC) and SPDR Gold Shares (GLD). This relationship should perhaps trend negative if investors are shifting from gold to Bitcoin. GBTC and Invesco DB… Keep Reading

Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 35 exchange-traded products encompassing those used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS),… Keep Reading

Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects for options on U.S. common stocks. They focus on performance of straddles, combining a put and a call with the… Keep Reading

Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest Fund (DBV) – tracks changes in the Deutsche Bank G10 Currency Future Harvest Index. This index consists of futures contracts… Keep Reading

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading

Below is a weekly summary of our research findings for 11/30/20 through 12/4/20. 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.

How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census Bureau data. We make the following head-of-household age cohort assumptions: “Less than 35 years” means about age 30. “35 to… Keep Reading