Recent Investing Research

Do investors swing toward optimism around U.S. presidential inauguration days, focusing on future opportunities? Or, does the day remind investors of political uncertainty and conflict? To investigate, we analyze daily returns of the S&P 500 Index around inauguration day. We consider subsamples of no party change and party change. Using inauguration dates since 1928 and… Keep Reading

How should investors think about research using long-run financial data? In their October 2024 paper entitled “Long-Run Asset Returns”, David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki survey the body of evidence on historical return premiums for stocks, bonds, real estate and commodities over the current and previous two centuries. They discuss benefits and… Keep Reading

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during five trading days before through five trading days after the holiday. Using daily closing levels of the… Keep Reading

One concern about simple momentum strategies is data snooping bias impounded in selection of the lookback interval(s) used to measure asset momentum. To circumvent this concern, we consider the following argument: The CBOE Volatility Index (VIX) broadly indicates the level of financial markets distress and thereby the tendency of investors to act complacently (when VIX… Keep Reading

How sensitive is performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) to choice of momentum calculation lookback interval, and what interval works best? To investigate, we generate gross compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) for SACEMS Top 1, equally weighted (EW) EW Top 2 and EW Top 3 portfolios over lookback… Keep Reading

Below is a weekly summary of our research findings for 12/9/24 through 12/13/24. 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.

Can expected trading frictions, as derived from trading volume forecasts, materially improve active stock portfolio net performance? In the May 2024 version of their paper entitled “Trading Volume Alpha”, flagged by a subscriber, Ruslan Goyenko, Bryan Kelly, Tobias Moskowitz, Yinan Su and Chao Zhang explore optimization of net stock portfolio performance by accounting for expected… Keep Reading

A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50%… Keep Reading

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for November 2024. The actual total (core) inflation rate is very slightly lower than (slightly lower than) forecasted.

Are the human choices in studies that apply machine learning models to forecast stock returns critical to findings? In other words, is there a confounding machine learning design choices zoo? In their November 2024 paper entitled “Design Choices, Machine Learning, and the Cross-section of Stock Returns”, Minghui Chen, Matthias Hanauer and Tobias Kalsbach analyze effects… Keep Reading