Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for January 2021 (Final)

Momentum Investing Strategy (Strategy Overview)

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

The new filtering tool is a better way to search and order research. With the filter you can:

  • Enter search keywords
  • Select one or multiple categories
  • Filter specific date ranges
  • Sort by relevance, date, and popularity
  • Increase the number of posts per page

Questions or comments? Email [email protected].

Investing Research Articles

2921 Research Articles

Persistently High Stock Loan Fee as Return Predictor

Do stocks with high borrowing costs (loan fees) exhibit predictably low short-term returns? In their November 2020 paper entitled “Borrowing Fees and Expected Stock Returns”, Kaitlin Hendrix and Gavin Crabb explore whether stock loan fees contain reliable and useful information about short-term stock returns worldwide. To isolate borrowing activity most likely related to short selling,… Keep Reading

Crude Oil Seasonality

Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning of 1986 (34+ years). Nearest expiration futures prices for crude oil since April 1983 (37+ years). Prices for United States… Keep Reading

Do ETFs Following Gurus/Insiders Work?

Do exchange-traded funds (ETF) that attempt to mimic holdings of hedge fund gurus and/or firm insiders offer attractive performance? To investigate, we consider seven ETFs, four live and three dead, in order of introduction: Invesco Insider Sentiment (NFO) – focuses on stocks attracting interest of insiders such as company executives, fund managers and sell side… Keep Reading

SACEMS, SACEVS and Trading Calendar Updates

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for November 2020.

U.S. Economy and Equity Market Linkage Weakening?

How connected are principal measures of U.S. economic activity and U.S. stock market performance? In their October 2020 paper entitled “Has the Stock Market Become Less Representative of the Economy?”, Frederik Schlingemann and René Stulz model and measure relationships between market capitalizations of U.S. publicly listed firms and their contributions to U.S. employment and Gross… Keep Reading

Weekly Summary of Research Findings: 11/23/20 – 11/27/20

Below is a weekly summary of our research findings for 11/23/20 through 11/27/20. 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.

Evolution of Bitcoin as an Investment

How are attitudes toward Bitcoin as an investment evolving? In their October 2020 survey report entitled “Comparing Public Bitcoin Adoption Rates in 2020 vs 2017”, the Tokenist summarizes findings from a survey using the same questions as three of the most widely cited past surveys on Bitcoin adoption from October 2017, July 2018 and April… Keep Reading

Cyclical-Defensive Sector Rotation Based on VIX Level

Do differences in equity sector responses to stock market crashes (and associated volatility spikes) support an exploitably attractive sector rotation strategy? In the November 2020 update of his paper entitled “Actively Using Passive Sectors to Generate Alpha Using the VIX”, Michael Gayed examines a cyclical-defensive sector rotation strategy using the level of the CBOE S&P… Keep Reading

Stock Loan Fee as Return Predictor

Do stocks with high borrowing costs reliably underperform? In their October 2020 paper entitled “The Loan Fee Anomaly: A Short Seller’s Best Ideas”, Joseph Engelberg, Richard Evans, Gregory Leonard, Adam Reed and Matthew Ringgenberg examine equity loan fees (stock borrowing costs) as a predictor of stock returns. For perspective, they compare returns of their loan… Keep Reading

Online, Real-time Test of AI Stock Picking

Will equity funds “managed” by artificial intelligence (AI) outperform human investors? To investigate, we consider the performance of AI Powered Equity ETF (AIEQ), which “seeks long-term capital appreciation within risk constraints commensurate with broad market US equity indices.” Per the offeror, the EquBot model supporting AIEQ: “…leverages IBM’s Watson AI to conduct an objective, fundamental… Keep Reading