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Investing Research Articles

2863 Research Articles

Weekly Summary of Research Findings: 7/20/20 – 7/24/20

Below is a weekly summary of our research findings for 7/20/20 through 7/24/20. 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.

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

Optimal SMA Lookback Interval?

Is a 10-month simple moving average (SMA10) the best SMA for long-term crossing signals? If not, is there some other optimal SMA lookback interval? To check, we compare performance statistics for SMA crossing signals generated by lookback intervals ranging from 2 (SMA2) to 48 months (SMA48), as applied to the S&P 500 Index. Using monthly… Keep Reading

Endemic Data Snooping in Smart Beta Offerings?

Do returns for “smart beta” indexes, constructed to exploit research on one or more factors that predict individual stock returns, reliably predict returns for exchange-traded funds (ETF) introduced to track them? In the June 2020 version of their preliminary paper entitled “The Smart Beta Mirage”, Shiyang Huang, Yang Song and Hong Xiang compare returns of… Keep Reading

Are Stock Quality ETFs Working?

Are stock quality strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five ETFs, all currently available (from oldest to youngest): Invesco S&P 500 Quality ETF (SPHQ) – seeks to track performance of S&P 500 stocks with the highest quality scores based on firm return on equity, accruals ratio and financial leverage… Keep Reading

Stock Market Valuation Ratio Trend Evolution

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading

Weekly Summary of Research Findings: 7/13/20 – 7/17/20

Below is a weekly summary of our research findings for 7/13/20 through 7/17/20. 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.

FactSet S&P 500 Earnings Growth Estimate Evolutions

A subscriber, citing the weekly record of S&P 500 earnings growth estimates in the “FactSet Earnings Insight” historical series, wondered whether estimate trends/revisions are exploitable. To investigate, we collect S&P 500 quarterly year-over-year earnings growth estimates as recorded in this series. These data are bottom-up (firm by firm) aggregates, whether purely from analyst estimates (before any actual earnings releases),… Keep Reading

Ending with the Beginning in Mind

How should investors think about the interactions between working years (retirement account contributions) and retirement years (retirement account withdrawals)? In his June 2020 paper entitled “Retirement Planning: From Z to A”, Javier Estrada integrates working and retirement periods to estimate how much an individual should save and how they should invest to achieve a desired… Keep Reading

Exploitable Government Bond Return Predictability?

Are government bond returns exploitably predictable? In their June 2020 paper entitled “Predicting Bond Returns: 70 Years of International Evidence”, Guido Baltussen, Martin Martens and Olaf Penninga examine predictability of international 10-year government bond returns with emphasis on two subsamples, January 1950 through September 1981 (mostly rising interest rates) and October 1981 through May 2019… Keep Reading