Investing Research Articles

A subscriber proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds stocks of relatively large firms engaged in natural resources and commodities businesses. DBC holds a range of commodity futures contracts…. Keep Reading

Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns with respect to NYSE trading hours, defining intraday return as 10:00-16:00, overnight return as 16:00-10:00 and daily return as 1600-16:00… Keep Reading

Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm characteristics to identify stocks that continue to be winners or losers after selection as momentum stocks (stocks with enduring momentum)…. Keep Reading

In response to “Best Equity Risk Premium”, a subscriber asked whether the annual equity risk premium estimates of Aswath Damodaran predict stock market returns one year ahead. The cited source offers two 61-year series of annual estimates of the U.S. equity risk premium implied by an S&P 500:  Dividend Discount Model (DDM).  Free Cash Flow… Keep Reading

Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of: CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) and CBOE S&P 500 95-110 Collar Index (CLL), with S&P 500 Total Return Index (SPTR) as a benchmark. Invesco S&P 500 BuyWrite… Keep Reading

Below is a weekly summary of our research findings for 5/2/22 through 5/6/22. 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.

A reader requested evaluation of the Fosback Index and its Ned Davis variant. The creators of these indicators argue that a high (low) ratio of cash equivalents to assets among equity mutual funds indicates strong (weak) potential demand for stocks. The Investment Company Institute (ICI) surveys mutual fund managers monthly (with a lag of about a month)… Keep Reading

Does the finding from long-short factor analysis that the value premium is stronger among small stocks than large stocks hold for long-only value portfolios? In his April 2022 paper entitled “Long-Only Value Investing: Does Size Matter?”, Jack Vogel investigates interactions between the value premium and market capitalization for U.S. and international stocks. The steps in… Keep Reading

Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled “A Look Under the Hood of Momentum Funds”, Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock momentum funds. To measure performance uncontaminated by discretionary stock picking and portfolio construction methods, they focus on mechanical (passive) momentum… Keep Reading

A subscriber requested confirmation of the following relationship between U.S. M2 Money Stock and gold offered in “Why Gold May Be Looking Cheap”: “[O]ne measure I’ve found useful is the ratio of the price of gold to the U.S. money supply, measured by M2, which includes cash as well as things like money market funds,… Keep Reading