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Allocations for January 2021 (Final)
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Investing Research Articles

2921 Research Articles

Weekly Summary of Research Findings: 10/12/20 – 10/16/20

Below is a weekly summary of our research findings for 10/12/20 through 10/16/20. 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.

How Canadian Pension Funds Outperform

Which institutional investors do best and why? In the September 2020 update of their paper entitled “The Canadian Pension Fund Model: A Quantitative Portrait”, Alexander Beath, Sebastien Betermier, Chris Flynn and Quentin Spehner compare performances of Canadian pension funds and those of other countries, focusing on Sharpe ratio of the fund assets, Sharpe ratio of… Keep Reading

Value Investing Not Dead?

Based on the conventional definition of the value premium, value underperforms growth over last 13.5 years with maximum drawdown of a long value-short growth portfolio -55%. Is value investing dead? In the August 2020 update of their paper entitled “Reports of Value’s Death May Be Greatly Exaggerated”, Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani… Keep Reading

Indicators of U.S. Presidential Re-election Results

What economic/financial variables are most useful in predicting re-election prospects for incumbent U.S. presidents? In the November 2012 revision of their paper entitled “Social Mood, Stock Market Performance and U.S. Presidential Elections: A Socionomic Perspective on Voting Results”, Robert Prechter, Deepak Goel, Wayne Parker and Matt Lampert analyze relationships between prior U.S. economic and equity… Keep Reading

CPI and Stocks Over the Short and Intermediate Terms

Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI releases (for all items, not seasonally adjusted) from the Bureau of Labor Statistics (BLS) and contemporaneous S&P 500 Index opens… Keep Reading

Gold Globally

Is gold a hedge and safe haven for other asset classes globally? In their September 2020 paper entitled “Gold as a Financial Instrument”, Pedro Gomis‐Porqueras, Shuping Shi and David Tan explore effectiveness of gold as hedge and safe haven for a variety of international market risks. They define a hedge as an asset with return… Keep Reading

Weekly Summary of Research Findings: 10/5/20 – 10/9/20

Below is a weekly summary of our research findings for 10/5/20 through 10/9/20. 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.

Asset Class ETF Interactions with the Yuan

How do different asset classes interact with the Chinese yuan-U.S. dollar exchange rate? To investigate, we consider relationships between WisdomTree Chinese Yuan Strategy (CYB) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement… Keep Reading

Asset Class ETF Seasonalities?

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 (SPY) iShares Russell 2000… Keep Reading

Choosing Investment Managers Poorly?

Do sophisticated investors choose investment managers wisely? In their July 2020 paper entitled “Choosing Investment Managers”, Amit Goyal, Sunil Wahal and Deniz Yavuz investigate how institutional investors select investment managers for public equity and fixed income portfolios. For each actual selection, they construct a group of non-selected investment managers competing in the same geographic region,… Keep Reading