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Investing Research Articles

2824 Research Articles

Returns After QE Announcements

In reaction to “Federal Reserve Holdings and the U.S. Stock Market”, a subscriber suggested analysis of market reactions to announcements (starts/ends) of major Federal Reserve System interventions, such as the series of quantitative easing (QE) initiatives. Reactions to such announcement should precede changes in actual holdings. To investigate, we look at cumulative returns of SPDR… Keep Reading

Returns for Leveraged Securities

Are investors willing to pay for easy access to leverage? In the April 2020 version of their draft paper entitled “Embedded Leverage”, Andrea Frazzini and Lasse Pedersen investigate the relationship between the leverage of a financial asset (absolute percentage price change per one percent change in the underlying) and its return. They consider equity index… Keep Reading

Weekly Summary of Research Findings: 6/1/20 – 6/5/20

Below is a weekly summary of our research findings for 6/1/20 through 6/5/20. 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.

Enhancement of Dual Momentum with Just Three Assets?

In response to “Review of Dual Momentum with Just Three Assets”, a subscriber suggested adding gold in competition with long-term U.S. Treasury bonds as a safe haven from equities. To test this potential enhancement of Accelerating Dual Momentum (ADM), we each month: Calculate for each of SPDR S&P 500 (SPY), iShares MSCI EAFE Small-Cap ETF (SCZ),… Keep Reading

Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes

What are the optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following eight asset class exchange-traded funds (ETF), plus Cash: PowerShares DB Commodity Index Tracking (DBC) iShares JPMorgan Emerging Markets Bond Fund (EMB) iShares MSCI EAFE Index (EFA) SPDR… Keep Reading

Rational Uses of Leveraged and Inverse ETPs

What are rational uses of leveraged and inverse exchange-traded products (ETP), which offer easy access to amplified positions in various benchmark indexes spanning stocks, bonds, commodities and volatility? In their April 2020 paper entitled “Levered and Inverse ETPs: Blessing or Curse?”, Colby Pessina and Robert Whaley review the mechanics of leveraged and inverse ETPs, simulate… Keep Reading

Tech Premium Boost for Simplest Asset Class Momentum Strategy?

In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months. To investigate, we… Keep Reading

Review of the Golden Butterfly Portfolio

A subscriber requested review of the Golden Butterfly (GB) portfolio, which assigns equal weights to the total stock market, small-capitalization value stocks, long-term government bonds, short-term government bonds and gold. To investigate, we use the following exchange-traded funds (ETF) as asset class proxies, respectively: Vanguard Total Stock Market Index Fund (VTI) iShares S&P Small-Cap 600… Keep Reading

Weekly Summary of Research Findings: 5/26/20 – 5/29/20

Below is a weekly summary of our research findings for 5/26/20 through 5/29/20. 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.

SACEMS at Weekly and Biweekly Frequencies

A subscriber asked for an update on whether weekly or biweekly (every two weeks) measurement of asset class momentum works better than monthly measurement as used in “Simple Asset Class ETF Momentum Strategy (SACEMS)” (SACEMS). Do higher measurement frequencies respond more efficiently to market turns? To investigate, we compare performances of strategies based on monthly,… Keep Reading