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Investing Research Articles

3272 Research Articles

Testing a Term Premium Asset Allocation Strategy

A subscriber asked about the performance of a strategy that each month allocates funds to pairs of exchange-traded fund (ETF) asset class proxies according to the term spread, as measured by the difference in yields between the 10-Year constant maturity U.S. Treasury note and the 3-Month U.S. Treasury bill (T-bill). Specifically: When the term spread is… Keep Reading

Equity Factor Performance Before and After the End of 2000

Do the widely used U.S. stock return factors exhibit long-term trend changes and shorter-term cyclic behaviors? In his November 2022 paper entitled “Trends and Cycles of Style Factors in the 20th and 21st Centuries”, Andrew Ang applies various methods to compare trends and cycles for equity value, size, quality, momentum and low volatility factors, with… Keep Reading

Weekly Summary of Research Findings: 12/27/22 – 12/30/22

Below is a weekly summary of our research findings for 12/27/22 through 12/30/22. 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.

FFR Actions, Stock Market Returns and Bond Yields

Do Federal Funds Rate (FFR) actions taken by the Federal Reserve open market operations committee reliably predict stock market and U.S. Treasuries yield reactions? To investigate, we use the S&P 500 Index as a proxy for the stock market and the yield for the 10-Year U.S. Constant Maturity Treasury note (T-note). We look at index returns… Keep Reading

Enhancing Momentum with Multi-lookback Winners/Losers

Do stocks that are winners or losers over multiple lookback intervals generate stronger future returns because they attract wider audiences of momentum investors? In their June 2022 paper entitled “Overlapping Momentum Portfolios”, Iván Blanco, Miguel De Jesus and Alvaro Remesal explore this question by comparing performances of three portfolios: MOM (benchmark): long (short) the value-weighted… Keep Reading

Revisiting Effects of S&P 500 Additions and Deletions

How has the price impact associated with stocks entering or leaving the S&P 500 evolved? In their December 2022 paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon revisit abnormal returns for S&P 500 additions and deletions and investigate five potential drivers of findings. Using announcement dates, implementation dates and daily returns for… Keep Reading

Stock Returns Around New Year’s Day

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily… Keep Reading

Weekly Summary of Research Findings: 12/19/22 – 12/23/22

Below is a weekly summary of our research findings for 12/19/22 through 12/23/22. 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.

U.S. Stock Market End-of-Quarter Effect

Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with subsequent reversals)? Or, do they sell stocks to raise cash for fund redemptions? Is any end-of-quarter effect distinct from the… Keep Reading

Exploit U.S. Stock Market Dips with Margin?

A subscriber requested evaluation of a strategy that seeks to exploit U.S stock market reversion after dips by temporarily applying margin. Specifically, the strategy: At all times holds the U.S. stock market. When the stock market closes down more than 7% from its high over the past year, augments stock market holdings by applying 50%… Keep Reading