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Investing Research Articles

3060 Research Articles

Are Equity Put-Write ETFs Working?

Is systematically selling covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity put-write ETFs, two dead and two living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree CBOE S&P500 PutWriteStrat (PUTW) – index-oriented… Keep Reading

Weekly Summary of Research Findings: 8/23/21 – 8/27/21

Below is a weekly summary of our research findings for 8/23/21 through 8/27/21. 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.

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

Update of Credit as a Tactical Asset Allocation Signal

Do credit portfolio managers adjust their portfolios more expeditiously than equity managers, thereby offering a means to time the equity market? In his August 2021 paper entitled “Credit-Informed Tactical Asset Allocation – 10 Years On”, David Klein updates and enhances the strategy presented in his paper of June 2011 (see “Credit as a Tactical Asset… Keep Reading

Combining SMA10 and Sahm Indicator

A subscriber asked about a stock market timing strategy that combines the market 10-month simple moving average (SMA10) and the Sahm Recession Indicator (Sahm), which signals the start of a recession when the 3-month SMA of the U.S. unemployment rate is at least 0.5% higher than its low during the last 12 months. Specifically, the… Keep Reading

Examining Disruptive/Transformational Thematic Indexes

Leading index providers have introduced thematic stock indexes to address transformative macroeconomic, geopolitical or technological trends (for example, cybersecurity, robotics, autonomous vehicles and clean power). How do these indexes relate to standard asset pricing models? In his August 2021 paper entitled “Betting Against Quant: Examining the Factor Exposures of Thematic Indices”, David Blitz examines the… Keep Reading

Testing a QQQ Swing Trade Strategy

A subscriber requested review of a swing trade strategy that buys and sells Invesco QQQ Trust (QQQ) according to the following rules: Buy at the close when it is either Monday or Tuesday and QQQ (Close-Low)/(High-Low) is 0.15 or less. Subsequently sell at the close when it is higher than the prior-day high. To investigate, to… Keep Reading

Weekly Summary of Research Findings: 8/16/21 – 8/20/21

Below is a weekly summary of our research findings for 8/16/21 through 8/20/21. 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.

Are WisdomTree Modern Alpha ETFs Attractive?

Is the WisdomTree approach to exchange-traded fund (ETF) cost efficiency and performance potential (Modern Alpha) attractive? To investigate, we compare performance statistics of six WisdomTree ETFs, all currently available, to those of “easy substitute” (widely used and very liquid) benchmark ETFs, as follows: WisdomTree U.S. Total Dividend Fund (DTD), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading

Performance of Derivatives Traders

How well do derivatives traders perform, and why? In the July 2021 version of their paper entitled “Derivatives Leverage is a Double-Edged Sword”, Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang study the performance of Chinese derivatives (futures) traders across 1,086 contracts on 51 underlying assets. They consider gross and net daily trader returns,… Keep Reading