Investing Research Articles

A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we use a 10-month simple moving...

Does the number of factors significantly predicting next-month stock returns vary substantially over time? If so, what accounts for the variation? In their December 2021 paper entitled “Time Series Variation in the Factor Zoo”, Hendrik...

Below is a weekly summary of our research findings for 1/31/22 through 2/4/22. 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 suggested expanding and modifying the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS) to consist of the following exchange-traded funds (ETF): SPDR Portfolio S&P 500 Growth (SPYG) SPDR Portfolio S&P 500 Value...

Are some passive exchange-trade-fund (ETF) managers more efficient than others in adjusting to changes in underlying benchmark indexes? In the December 2021 revision of his paper entitled “Should Passive Investors Actively Manage Their Trades?”, Sida...

How do returns of different asset classes recently interact with uncertainty in government economic policy as quantified by the Economic Policy Uncertainty (EPU) Index? This index at the beginning of each month incorporates from the...

Below is a weekly summary of our research findings for 1/24/22 through 1/28/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-commodities producer price index (PPI) from the U.S. Bureau of Labor Statistics? To investigate,...

A non-fungible token (NFT) is a way to record, verify and track on a blockchain ownership of a unique physical or digital asset such as a work of art, a futures contract, a music score,...

Below is a weekly summary of our research findings for 1/18/22 through 1/21/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does the labor force participation rate, measured monthly by the U.S. Bureau of Labor Statistics along with employment and unemployment rate, predict U.S. stock market returns? An increasing (decreasing) participation rate may may indicate strong...

A subscriber asked whether substituting the less volatile Vanguard Dividend Appreciation Index Fund (VIG) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum...

Below is a weekly summary of our research findings for 1/10/22 through 1/14/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Trading Calendar presents full-year and monthly cumulative performance profiles for the overall U.S. stock market (proxied by the S&P 500 Index) based on average daily behavior. Do monthly behaviors of U.S. stock market sectors deviate...

Below is a weekly summary of our research findings for 1/3/22 through 1/7/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Do models of the cross-section of future stock returns based on technical indicators work as well as those based on fundamental factors? In their December 2021 paper entitled “Technical Indicators and Cross-Sectional Expected Returns”, Hui...

How have active equity investment managers performed over the past three decades? In his November 2021 paper entitled “Active Equity Management, 1991-2020”, Gene Hochachka examines whether: (1) active equity managers as a group beat their...

In response to “Combining Defensive-in-May and Sector Reversion”, a subscriber requested testing of a strategy combining seasonal effects (cyclical sectors during November through April and defensive sectors during May through October) and sector momentum. Cyclical...

Below is a weekly summary of our research findings for 12/27/21 through 12/31/21. 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 hypothesized that a very large delta between daily iShares 20+ Year Treasury Bond (TLT) and SPDR S&P 500 (SPY) returns presages a stock market collapse, and asked for verification. To investigate, we consider...

Do monthly business inventories data, released with a lag of about 1.5 months, reliably predict U.S. stock market behavior? To investigate, we relate monthly change in business inventories to monthly S&P 500 Index return. Using...

Below is a weekly summary of our research findings for 12/20/21 through 12/23/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Inspired by “The iM Seasonal ETF Switching Strategy”, a subscriber requested testing of a strategy combining seasonal effects (cyclical sectors during November through April and defensive sectors during May through October) and sector reversion. Cyclical...

A subscriber asked about a strategy that holds a portfolio of cyclical sectors and small capitalization stocks during November through April and a portfolio of defensive sectors during May through October, as follows: Cyclical: Materials...

How meaningful is the term Environmental, Social, and Corporate Governance (ESG) as a descriptor of firm valuation and investment performance? In his November 2021 paper entitled “ESG: Hyperboles and Reality”, George Serafeim assesses beliefs about...