Investing Research Articles

A subscriber suggested an update of “GMO’s Stunningly Accurate Forecast?” with out-of-sample testing of GMO forecasts. To investigate, we test GMO’s 7-Year asset class real return forecasts of December 31, 2010, July 31, 2013, June 30, 2014 and November 2015. We first match the 11 GMO asset classes covered in these forecasts to exchange-traded funds… Keep Reading

Can investors exploit information about business credit tightening/loosening as reported since 1990 in the Federal Reserve’s quarterly Senior Loan Officer Survey to time the U.S. stock market? In the January 2023 draft of his paper entitled “Profitable Timing of the Stock Market with the Senior Loan Officer Survey”, Linus Wilson examines the power of “Net… Keep Reading

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

Below is a weekly summary of our research findings for 1/30/23 through 2/3/23. 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.

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel… Keep Reading

Should investors presume that, in the absence of falsifiable theories, the body of factor investing research is largely spurious? In the January 2023 version of his paper entitled “Causal Factor Investing: Can Factor Investing Become Scientific?”, Marcos Lopez de Prado reviews the current state of confusion about causality in factor investing research and discusses ways… Keep Reading

Referring to “Asset Class Momentum Faster During Bear Markets?”, a subscriber asked about performance of a modification of the equal-weighted top three (EW Top 3) version of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) which uses the baseline momentum ranking (lookback) interval when the S&P 500 Index is above its 10-month simple moving average… Keep Reading

Below is a weekly summary of our research findings for 1/23/23 through 1/27/23. 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.

Given that finance is ultimately tied to human emotions, does the body of research support belief that abilities of machine learning to handle large amounts of data, non-linearities and variable interactions will revolutionize investing? In their January 2023 paper entitled “How Can Machine Learning Advance Quantitative Asset Management?”, David Blitz, Tobias Hoogteijling, Harald Lohre and… Keep Reading

How would currently popular asset allocation strategies have performed back to the end of 1925? In their January 2023 paper entitled “A Century of Asset Allocation Crash Risk”, Mikhail Samonov and Nonna Sorokina test the following seven widely used asset allocation strategies back to 1926 using a combination of actual and modeled returns for many… Keep Reading