Investing Research Articles

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

Below is a weekly summary of our research findings for 4/25/22 through 4/29/22. 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.

The “Simple Asset Class ETF Value Strategy” (SACEVS) allocates across 3-month Treasury bills (Cash, or T-bill), iShares 20+ Year Treasury Bond (TLT), iShares iBoxx $ Investment Grade Corporate Bond (LQD) and SPDR S&P 500 (SPY) according to the relative valuations of term, credit and equity risk premiums. Does applying a simple moving average (SMA) filter to SACEVS allocations improve its… Keep Reading

A subscriber, citing an assertion (without explanation) from an interview with a hedge fund manager, asked for confirmation that negative real yields on U.S. Treasury instruments predict poor returns for emerging market equities.  To investigate, we look at interactions between the real return on 10-year U.S. Treasury notes (T-notes) and return on iShares MSCI Emerging… Keep Reading

How should investors think about surprises in economic data? In their March 2022 paper entitled “Caught by Surprise: How Markets Respond to Macroeconomic News”, Guido Baltussen and Amar Soebhag devise and investigate a real-time aggregate measure of surprises in economic (not financial) variables around the world. Each measurement for each variable consists of release date/time,… Keep Reading

Below is a weekly summary of our research findings for 4/18/22 through 4/22/22. 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 subscriber hypothesized that keeping old underwear is an early indicator of personal income at risk. Trends in underwear, as proxied by Hanesbrands Inc. (HBI), may therefore be a leading indicator of trends in the overall stock market. To test this hypothesis, we relate HBI returns to SPDR S&P 500 ETF Trust (SPY) returns at… Keep Reading

Has the quick reaction of exchange-traded funds (ETF) to marketwide news made the stocks they hold more efficient than other stocks, thereby suppressing the strength of anomalies in stocks held? In their March 2022 paper entitled “ETFs, Anomalies and Market Efficiency”, Ilias Filippou, Songrun He and Guofu Zhou investigate effects of ETF ownership within the… Keep Reading

Should investors consider allocations to bitcoin (BTC) in their investment portfolios? In their February 2022 paper entitled “Asset Allocation with Crypto: Application of Preferences for Positive Skewness”, Andrew Ang, Tom Morris and Raffaele Savi investigate how investors should think about allocations to BTC based on features of its historical return distribution. Specifically, they model optimal… Keep Reading

A subscriber asked whether it works to buy natural gas before big winter storms. To investigate, we look at the interactions between a sample of major winter storms in the U.S. northeast (NE) and contemporaneous prices of the futures-based United States Natural Gas Fund, LP (UNG). Using daily adjusted closes of UNG and dates of… Keep Reading