The following list links to summaries of recent (since 2010) investment research using long data samples. These summaries may be helpful in developing strategic allocations and tactical wariness for long-horizon investments.
- “Commodity Futures Risk Premium Over the Long Run” – estimates the historical risk premium of dead and live commodity futures contract series as available during 1871 through 2018 (148 years).
- “Bond Returns Over the Very Long Run” – assesses returns to investment grade bonds (federal, state/local and corporate) in the U.S. during 1793 through 2013 (221 years).
- “National Election Cycle and Stocks Over the Long Run” – examines the behavior of the U.S. stock market across the U.S. presidential term cycle (years 1, 2, 3 or 4) from the end of December 1872 through August 2019 (almost 147 years).
- “Stock Market Earnings Yield and Inflation Over the Long Run” – investigates how U.S. stock market earnings yield interacts with the U.S. inflation rate during January 1871 through June 2019 (148 years).
- “‘Sell in May’ Over the Long Run” – tests whether conventional wisdom to “Sell in May” works for the U.S. stock market during April 1871 through April 2019 (148 years).
- “Asset Class Short-term Momentum Over the Long Run” – measures short-term return predictability within global samples for five asset classes (equity indexes, government bonds, treasury bills, commodity futures and currencies) in U.S. dollars as available during 1800 through 2018 (219 years).
- “Commodity Futures Strategies Over the Very Long Run” – evaluates momentum (nearest contract 12-month excess return), value (spot price change from one year ago to five years ago) and basis (12-month average ratio of nearest to next-nearest contract prices) premiums for commodity futures as available during 1877 through 2017 (141 years).
- “Global Factor Premiums Over the Very Long Run” – checks the reliability of six widely accepted factor premiums across four asset classes using data as available during 1800 through 2016 (217 years).
- “January Barometer Over the Long Run” – tests support for the belief that “as goes January, so goes the rest of the year” for the the U.S. stock market during 1871 through 2017 (147 years).
- “Trend Following with Intrinsic Momentum over the Very Long Run” – investigates whether time series (intrinsic or absolute) return momentum works for 67 assets as available during 1880 through 2016 (137 years).
- “(Some) Commodities over the Long Run” – examines whether commodity futures are attractive as available during 1877 through 2015 (139 years).
- “Illiquid Asset Returns over the Long Run” – tests whether illiquid assets (houses, farmland, art, stamps, wine, violins, gold, silver and diamonds) are competitive as investments with liquid financial assets during 1900 through 2014 (115 years).
- “Asset Class Price Momentum Over the Very Long Run” – examines reliability of price momentum within and across country equity markets, global equity sectors, government bonds, commodities, currencies and individual U.S. stocks as available during 1800 through 2014 (215 years).
- “Market Timing with Moving Averages Over the Very Long Run” – explores which moving average rules and measurement (lookback) intervals work best for the U.S. stock market during 1860 through 2009 (150 years).
- “Currency Carry Trade Over the Long Run” – tests whether the currency carry trade (financing short-term deposits in currencies with high interest rates with short-term loans in currencies with low interest rates) generates a reliably attractive return during 1900 through 2012 (113 years).
- “Earnings per Share Growth in the Long Run” – investigates what long-run real return investors should expect from the U.S. stock market and whether popular metrics reliably indicate when it is overvalued using data as available during 1871 through 2013 (143 years).
- “Trend Following over the Very Long Run” – tests whether prices exhibit persistently exploitable trends for commodities, currencies, stock indexes and bonds as available during 1800 through 2010 (211 years).
- “January Effect Over the Long Run” – assesses support for belief in the January effect (exceptionally strong performance by the U.S. stock market during the month of January) during 1871 through 2013 (143 years).
- “Stock Price Momentum Over the Very Long Run” – analyzes momentum in U.S. stock prices during 1800 through December 2012 (213 years).
- “10-Month SMA Timing Signals Over the Long Run” – tests usefulness of a 10-month simple moving average (SMA) trading rule on the U.S. stock market during 1871 through 2012 (142 years).
- “Moving Average Rules Over the Long Run” – examines performances of 10,800 moving average trading rule variants as applied to then-current components of the Dow Jones Industrial Average during October 1928 through December 2011 (83 years).
- “Reversion of Stock Markets to Value Over the Long Run” – investigates whether investors can count on stock markets reverting to some valuation benchmark using annual index levels during 1900 through 2008 (109 years).
- “Trading Frictions Over the Long Run” – compiles a history of U.S. stock trading frictions spanning 1900 through 2000 (101 years).
- “A Long Run Demographic Stock Market Outlook” – assesses whether the demographic mix of a set of U.S. investors affects aggregate demand for yield, and thereby total returns, from equity investments during 1900 through 2008 (109 years).
Another long run source is the annual update of the work summarized in Triumph of the Optimists (Chapter-by-Chapter Review).
Some general cautions regarding such studies are:
- Reconstruction of price series from, for example, old newspapers involves missing data and potentially inconsistent reporting approaches. In other words, quality of old data is suspect.
- The number of asset class price series available may be small in early parts of sample periods.
- Some studies may impound survivorship bias via omission of assets that were important in the past but are no longer tracked in source databases.
- For studies using Shiller data, monthly levels are averages of monthly values, blurring monthly statistics and modestly blurring annual statistics. Results based on end-of-month values may differ.
- Reported returns are gross, not net. Accounting for costs of maintaining a tracking fund for a portfolio/index of commodities would reduce returns. Also:
- Studies involving shorting (such as factor premium analyses) typically do not address the cost/feasibility of shorting.
- Costs of maintaining tracking funds may vary by asset class, by country and over time, confounding comparisons. For example, commodity futures indexes generally assume monthly rolling of many contract series.
- Investment capacities of some assets may be especially limited early in sample periods.
- Tax consequences of trading vary considerably across countries and over time.
- Historical timeliness of data collection/processing for periodic trading (for example, for portfolio rebalancing) may be especially problematic in early parts of sample periods.
- Economies and markets change over time, making it difficult to assess the relative importance of older versus newer data.
- Distant past availability of retrospectively constructed indexes may have altered contemporaneous market behaviors (induced market adaptations).
