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Investing Research Articles

3060 Research Articles

Are Managed Futures ETFs Working?

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider three managed futures ETFs, all currently available: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies and interest… Keep Reading

Simplest Asset Class ETF Momentum Strategy Update

A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT)  depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50%… Keep Reading

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

Weekly Summary of Research Findings: 8/9/21 – 8/13/21

Below is a weekly summary of our research findings for 8/9/21 through 8/13/21. 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.

Financial Markets Flouters of Statistical Principles

Should practitioners and academics doing research on financial markets be especially careful (compared to researchers in other fields) when employing statistical inference. In the July 2021 version of their paper entitled “Finance is Not Excused: Why Finance Should Not Flout Basic Principles of Statistics”, David Bailey and Marcos Lopez de Prado argue that three aspects… Keep Reading

Pure ESG?

Is it possible to isolate environmental, social and governance characteristics (ESG) effects on stock returns from those of other stock characteristics? In their July 2021 paper entitled “Chasing The ESG Factor”, Abraham Lioui and Andrea Tarelli specify a cross-sectional long-short ESG factor that neutralizes exposures to other firm characteristics, such as size and book-to-market ratio…. Keep Reading

Are iShares Core Allocation ETFs Attractive?

The four iShares Core Asset Allocation exchange-traded funds (ETF) offer exposures to U.S. stocks, global stocks and bonds semiannually rebalanced to fixed weights, as follows. iShares Core Conservative Allocation (AOK) – 30% stocks and 70% bonds (30-70). iShares Core Moderate Allocation (AOM) – 40% stocks and 60%bonds (40-60). iShares Core Growth Allocation (AOR) – 60%… Keep Reading

Evaluating Country Investment Risk

How should global investors assess country sovereign bond and equity risks? In his July 2021 paper entitled “Country Risk: Determinants, Measures and Implications – The 2021 Edition”, Aswath Damodaran examines country risk from multiple perspectives. To estimate a country risk premium, he considers measurements of both country government bond risk and country equity risk. Based… Keep Reading

Performance of Statewide Pension Funds

When a public pension fund reports beating its benchmark, does that signify a job well done? In his July 2021 paper entitled “Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait”, Richard Ennis analyzes net returns of statewide pension funds in the U.S. He calculates both (1) net… Keep Reading

Weekly Summary of Research Findings: 8/2/21 – 8/6/21

Below is a weekly summary of our research findings for 8/2/21 through 8/6/21. 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.