Investing Research Articles

How sensitive are returns of stocks, bonds and gold to levels real interest rates (nominal rates minus inflation)? To investigate, we consider three nominal interest rates and two measures of inflation, as follows: 3-month U.S. Treasury Bill Yield (3-month). 1-year U.S. Treasury Constant Maturity Rate (1-year). 10-year Treasury Constant Maturity Rate (10-year). Personal Consumption Expenditures:… Keep Reading

Below is a weekly summary of our research findings for 6/21/21 through 6/25/21. 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.

Why have U.S. public pension, endowment and other non-profit funds (institutional investors) consistently underperformed simple, investible passive benchmarks since 2008? How should they remedy that underperformance? In his April 2021 paper entitled “How to Improve Institutional Fund Performance”, Richard Ennis summarizes prior papers quantifying post-2008 institutional investor returns and recommends how institutions can improve this… Keep Reading

What drives the price of gold: inflation, interest rates, stock market behavior, public sentiment? To investigate, we relate monthly and annual spot gold return to changes in: Non-seasonally adjusted Consumer Price Index (CPI). Nominal and real short-term (ST) interest rates based on 3-month U.S. Treasury bill yield. S&P 500 Index return. University of Michigan (UM) Consumer… Keep Reading

A subscriber provided promotional materials for, and requested assessment of, the Artemis Capital Management Dragon portfolio. General allocations for this portfolio are: 24% to secular growth such as U.S. and international stocks. 21% to “long volatility and convex hedging” such as the Artemis Vega Fund and tail risk hedges (probably options and/or futures). 19% to… Keep Reading

Below is a weekly summary of our research findings for 6/14/21 through 6/18/21. 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.

In view of research indicating that overnight (close-to-open) returns are on average significantly higher than open-to-close returns, a subscriber proposed an enhancement to the Simple Asset Class ETF Momentum Strategy (SACEMS), as follows: Instead of ranking SACEMS assets at the market close on the last trading day of each month, rank them at the open…. Keep Reading

Below is a weekly summary of our research findings for 6/7/21 through 6/11/21. 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.

Does the Fama-French  5-factor model (market, size, book-to-market, profitability, investment) of stock returns work for stocks worldwide? In their May 2021 paper entitled “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?”, Nusret Cakici and Adam Zaremba test the performance of the 5-factor model in global developed markets. They consider big… Keep Reading

Is firm book value-to-market price ratio (B/M) obsolete due to growing importance of intangible assets? Is it still widely used by institutional investors? In their May 2021 paper entitled “Going by the Book: Valuation Ratios and Stock Returns”, Ki-Soon Choi, Eric So and Charles Wang examine continuing of B/M for value investing and implications of… Keep Reading