Recent Investing Research

Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2024, we find that:

Can investors reliably exploit the somewhat opaquely presented strategy summarized in “Using Wilder Volatility Stops to Time the U.S. Stock Market”, which employs Welles Wilder’s Average True Range (ATR) volatility metric to generate buy and sell signals for broad U.S. stock market indexes? To investigate, we each trading day for the SPDR S&P 500 ETF… Keep Reading

Below is a weekly summary of our research findings for 10/28/24 through 11/1/24. 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 some mutual fund managers game Morningstar ratings/benchmarks by shifting the styles of their funds? In their September 2024 paper entitled “Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings”, Lauren Cohen, David Kim and Eric So investigate how mutual fund managers exploit investor reliance on Morningstar ratings by adjusting holdings to jump their funds… Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for October 2024.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for November 2024. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections…. Keep Reading

Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by Vanguard, as follows: Vanguard Target Retirement 2020 Fund (VTWNX) Vanguard Target Retirement 2025 Fund (VTTVX) Vanguard Target Retirement 2030 Fund… Keep Reading

Does investor fear level predict U.S. Treasury instrument returns? In their September 2024 paper entitled “Fear in the ‘Fearless’ Treasury Market”, Tianyang Wang, Yuanzhi Wang, Qunzi Zhang and Guofu Zhou examine how investor fear relates to future returns on U.S. Treasuries. They define bond risk premiums by duration as annual returns in excess of the… Keep Reading

Can Google’s  large language model (LLM), Gemini, beat simple benchmarks by picking a small portfolio of stocks? In their September 2024 paper entitled “Can AI Beat a Naive Portfolio? An Experiment with Anonymized Data”, Marcelo Perlin, Cristian Foguesatto, Fernanda Müller and Marcelo Righi test the ability of Gemini 1.5 Flash to weight a portfolio of five… Keep Reading