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Investing Research Articles

3209 Research Articles

S&P 500 Price-to-Sales Ratio and Stock Market Returns

A subscriber suggested looking at the S&P 500 price-to-sales ratio (P/S) as an indicator for timing the U.S. stock market. To investigate, we relate P/S and change in P/S to S&P 500 Index (SP500) returns, as follows: Conduct lead-lag analyses for quarterly P/S versus quarterly SP500 returns, and for quarterly change in P/S versus SP500… Keep Reading

Are ESG ETFs Attractive?

Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of eight ESG ETFs, all currently available, to those of simple and liquid benchmark ETFs, as follows: iShares MSCI USA ESG Select ETF (SUSA), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading

Update of Findings for a Highly Influential Asset Allocation Paper

“A Quantitative Approach to Tactical Asset Allocation” is a highly influential paper (over 253,000 downloads from SSRN) about asset allocation based on trend following, with the original version posted in early 2007 and a revision in early 2013. The strategy in that paper applies a 10-month simple moving average (SMA10) timing rule separately to each… Keep Reading

Asset Class and Factor Premium Performances Across Inflation Regimes

How should investors reposition portfolios across inflationary regimes (deflation, low inflation, mild inflation, high inflation)? In their July 2022, paper entitled “Investing in Deflation, Inflation, and Stagflation Regimes”, Guido Baltussen, Laurens Swinkels and Pim van Vliet examine asset class and factor returns across inflationary regimes. They first construct long monthly return histories for asset classes… Keep Reading

Weekly Summary of Research Findings: 7/11/22 – 7/15/22

Below is a weekly summary of our research findings for 7/11/22 through 7/15/22. 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 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

SACEMS Portfolio-Asset Addition Testing

Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS) boost performance via consideration of more trending/diversifying options? To investigate, we add the following 24 ETF/ETN asset class proxies one at a time to the base set and measure effects on the Top 1, equally weighted (EW)… Keep Reading

SACEMS Portfolio-Asset Exclusion Testing

Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) necessary? Might one or more of them actually be harmful to performance? To investigate, we each month rank the nine SACEMS assets based on past return with one excluded (nine separate test series) and reform the… Keep Reading

Overnight Effect Important for Investors?

Over at least the past three decades, 100% or more of the return (0% or negative return) on a wide range of risky assets occurs when markets are closed (open). Is this overnight effect important to investors? In their June 2022 paper entitled “Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies”,… Keep Reading

Failure of Equity Multifactor Funds?

Multifactor funds offer rules-based, diversified exposures to firm/stock factors found to beat the market in academic studies. Do the funds beat the market in real life? In his June 2022 paper entitled “Multifactor Funds: An Early (Bearish) Assessment”, Javier Estrada assesses performance of such funds across U.S., global and emerging markets relative to that of… Keep Reading