Investing Research Articles

Morningstar finds in “Mind the Gap” that poor timing of trades by mutual fund investors results in 1.7% annual underperformance of buy-and-hold (6.0% versus 7.7%) during 2013 through 2022. Is this finding correct? In the...

Below is a weekly summary of our research findings for 8/19/24 through 8/23/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Is the CNN Fear and Greed Index useful for predicting asset returns? In the July 2024 draft of their paper entitled “The CNN Fear and Greed Index as a Predictor of Us Equity Index Returns”,...

Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and...

Below is a weekly summary of our research findings for 8/12/24 through 8/16/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Can investors manage cryptocurrency volatility risk with simple trend following rules? In their August 2024 paper entitled “Trend-following Strategies for Crypto Investors”, Trinh Hue Le and Ummul Ruthbah test simple trend following rules on Bitcoin...

Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and...

Below is a weekly summary of our research findings for 8/5/24 through 8/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Has ease of access to, and processing of, firm accounting data suppressed stock anomalies by leveling the information playing field? In their July 2024 paper entitled “The Effect of New Information Technologies on Asset Pricing...

What are the best ways to apply backtesting in the development of investment strategies? In their July 2024 paper entitled “The Three Types of Backtests”, Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso and Marcos...

What is the distribution of U.S. common stock outcomes over the past century? In the July 2024 draft of his paper entitled “Which U.S. Stocks Generated the Highest Long-Term Returns?”, Hendrik Bessembinder presents cumulative returns...

Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly: Change in VIX. Return for ProShares VIX Short-Term Futures ETF (VIXY). Return for ProShares Short...

Below is a weekly summary of our research findings for 7/29/24 through 8/2/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does Michael Farr, CEO and founder of Farr, Miller & Washington, offer good stock picks via his annual CNBC articles identifying the best 10 stocks for the next year? To investigate, we take his picks...

Does subjective technical analysis truly add value? In their June 2024 paper entitled “The Power Of Price Action Reading”, Carlo Zarattini and Marios Stamatoudis investigate the value added to simple trading rules by the discretionary...

A subscriber observed and asked: “Many Bogleheads at Vanguard prefer a buy and hold portfolio of 50% SPY, 25% each BND and EFA [rebalanced annually]. How does this compare to your current strategy? And how...

Below is a weekly summary of our research findings for 7/22/24 through 7/26/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value,...

“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear...

Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024...

“Simple Sector ETF Momentum Strategy” investigates performances of simple momentum trading strategies for the following nine sector exchange-traded funds (ETF) executed with Standard & Poor’s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select...

A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a...

Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked for confirmation that the strategy described at “Meb Faber’s 12-Month High Switch” (the strategy) is attractive. This strategy at each monthly close: Calculates the 12-month high for: SPDR S&P 500 ETF Trust...

Below is a weekly summary of our research findings for 7/8/24 through 7/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...