Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for August 2021 (Final)

Momentum Investing Strategy (Strategy Overview)

Allocations for August 2021 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research

Investing Research Articles

3021 Research Articles

Expert Estimates of 2021 Country Equity Risk Premiums and Risk-free Rates

What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their June 2021 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 88 countries in 2021″, Pablo Fernandez, Sofia Bañuls and Pablo Acin summarize results of a May 2021 email survey of international economic professors, analysts and… Keep Reading

What Kind of Index Option Traders and Trades Are Profitable?

Overall, how do retail option traders perform compared to institutional counterparts, and what accounts for any performance difference? In their June 2021 paper entitled “Who Profits From Trading Options?”, Jianfeng Hu, Antonia Kirilova, Seongkyu Park and Doojin Ryu use account-level transaction data to examine trading styles and profitability by investor category for KOSPI 200 index… Keep Reading

SACEMS Optimal Lookback Interval Stability

A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one (Top 1),  equal-weighted top two (EW Top 2) and equal-weighted top three (EW Top 3) versions of SACEMS: Identify the… Keep Reading

Negative 30-year Real Yield as Gold Buy Signal

A subscriber asked for corroboration of an assertion that a negative 30-year U.S. Treasury real yield indicates a good time to buy gold. To investigate, we employ the following monthly data: 30-year U.S. Treasury constant maturity yield (30-year) since February 1977 (the limiting series). Total U.S. consumer price index (CPI) since February 1976. Spot gold… Keep Reading

Real Interest Rates and Asset Returns

How sensitive are returns of stocks, bonds and gold to levels real interest rates (nominal rates minus inflation)? To investigate, we consider three nominal interest rates and two measures of inflation, as follows: 3-month U.S. Treasury Bill Yield (3-month). 1-year U.S. Treasury Constant Maturity Rate (1-year). 10-year Treasury Constant Maturity Rate (10-year). Personal Consumption Expenditures:… Keep Reading

Weekly Summary of Research Findings: 6/21/21 – 6/25/21

Below is a weekly summary of our research findings for 6/21/21 through 6/25/21. 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.

Fixing Institutional Investing?

Why have U.S. public pension, endowment and other non-profit funds (institutional investors) consistently underperformed simple, investible passive benchmarks since 2008? How should they remedy that underperformance? In his April 2021 paper entitled “How to Improve Institutional Fund Performance”, Richard Ennis summarizes prior papers quantifying post-2008 institutional investor returns and recommends how institutions can improve this… Keep Reading

Gold Price Drivers?

What drives the price of gold: inflation, interest rates, stock market behavior, public sentiment? To investigate, we relate monthly and annual spot gold return to changes in: Non-seasonally adjusted Consumer Price Index (CPI). Nominal and real short-term (ST) interest rates based on 3-month U.S. Treasury bill yield. S&P 500 Index return. University of Michigan (UM) Consumer… Keep Reading

Stock Market Behavior Around Mid-year and 4th of July

The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading

Stock Market and the National Election Cycle

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading