Investing Research Articles

Is it possible to isolate environmental, social and governance characteristics (ESG) effects on stock returns from those of other stock characteristics? In their July 2021 paper entitled “Chasing The ESG Factor”, Abraham Lioui and Andrea Tarelli specify a cross-sectional long-short ESG factor that neutralizes exposures to other firm characteristics, such as size and book-to-market ratio…. Keep Reading

When a public pension fund reports beating its benchmark, does that signify a job well done? In his July 2021 paper entitled “Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait”, Richard Ennis analyzes net returns of statewide pension funds in the U.S. He calculates both (1) net… Keep Reading

Below is a weekly summary of our research findings for 8/2/21 through 8/6/21. 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.

The National Bank Act of 1863 created a national currency backed by U.S. Treasury bonds and curtailed the era of Free Banking (wildcat private currencies), which resembles the current environment of stablecoins (such as Tether and Diem). Subsequent legislation taxed private currencies out of existence. Does this history offer lessons for the future of stablecoins?… Keep Reading

In reaction to “Testing the EFA-SPY-TLT-PBBBX EW Strategy”, a subscriber asked about the performance of a strategy that each year rebalances to 25% SPDR S&P 500 (SPY), 10% iShares MSCI Emerging Markets Min Vol Factor (EEMV),  15% Vanguard Total World Stock Index Fund (VT), 25% iShares Barclays 20+ Year Treasury Bond (TLT) and 25% PIA BBB Bond Fund (PBBBX)…. Keep Reading

A subscriber, hypothesizing that asset classes with weak past returns should revert, requested testing of a strategy that each month holds the equal-weighted three of the Simple Asset Class ETF Momentum Strategy (SACEMS) universe with the lowest cumulative returns over the past 12 months (12-month EW Bottom 3). For comparison, we use the SACEMS EW… Keep Reading

Does the Misery Index, the sum of the U.S. total inflation rate and the U.S. unemployment rate, predict U.S. stock market returns? To investigate, we relate monthly Misery Index and monthly change in Misery Index to monthly S&P 500 Index (SP500) returns. Using monthly Misery Index level and monthly SP500 level during January 1948 (limited… Keep Reading

Below is a weekly summary of our research findings for 7/26/21 through 7/30/21. 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.

A subscriber asked about the performance of a strategy that each month rebalances to 25% international equities, 25% U.S. equities, 25% U.S. Treasuries and 25% BBB bonds, and how this performance compares to that of a portfolio that each month allocates 50% to Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% to… Keep Reading

Does anomaly publication lead to its speedy exploitation? In his March 2021 paper entitled “The Race to Exploit Anomalies and the Cost of Slow Trading”, Guy Kaplanski studies a sample of widely accepted U.S. stock return anomalies to determine how discovery and publication of an anomaly affects the timing of future returns. He quantifies anomalies… Keep Reading