Investing Research Articles

A subscriber suggested the Kansas City Financial Stress Index (KCFSI) as a potential U.S. stock market return predictor. This index “is a monthly measure of stress in the U.S. financial system based on 11 financial market variables. A positive value indicates that financial stress is above the long-run average, while a negative value signifies that financial… Keep Reading

…evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future credit expansions (contractions) over many months.

Below is a weekly summary of our research findings for 4/12/21 through 4/16/21. 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.

Do published stock factors exhibit performance streaks exploitable via intrinsic (absolute, or time series) and relative (cross-sectional) momentum? In the March 2021 revision of their paper entitled “Factor Momentum and the Momentum Factor”, Sina Ehsani and Juhani Linnainmaa investigate stock factor portfolio monthly time series and cross-sectional momentum. They consider 15 factors for U.S. stocks… Keep Reading

What is the latest evidence on attractiveness of selling covered calls or buying protective puts on the U.S. stock market? In his February 2021 paper entitled “Revisiting Covered Calls and Protective Puts: A Tale of Two Strategies”, Bryan Foltice examines raw and risk-adjusted returns from systematically selling covered calls and buying protective puts on SPDR… Keep Reading

What asset classes offer the best performance during episodes of high and rising inflation? In their March 2021 paper entitled “The Best Strategies for Inflationary Times”, Henry Neville, Teun Draaisma, Ben Funnell, Campbell Harvey and Otto Van Hemert analyze performances of passive and active strategies across various asset classes during inflationary episodes in the U.S.,… Keep Reading

How should financial advisers and investors approach retirement income planning? In their January 2021 paper entitled “A Model Approach to Selecting a Personalized Retirement Income Strategy”, Alejandro Murguia and Wade Pfau design and validate a questionnaire designed to quantify retirement income styles based on six preference scales: Probability-based vs. Safety First (main) – depending on… Keep Reading

Below is a weekly summary of our research findings for 4/5/21 through 4/9/21. 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 requested an assessment of U.S. federal capital gains tax impacts on the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and combinations of the two for investors with taxable accounts. Modeling such impacts is difficult due to complexity of the tax code and its highly idiosyncratic effects… Keep Reading

Are stock due diligence reports posted on Reddit’s Wallstreetbets (WSB) informative? If so, do users exploit them skillfully? In their March 2021 paper entitled “Place Your Bets? The Market Consequences of Investment Advice on Reddit’s Wallstreetbets”, Daniel Bradley, Jan Hanousek Jr., Russell Jame and Zicheng Xiao examine the value and retail trading impact of single-stock due… Keep Reading