Investing Research Articles

Do economic expectations of sophisticated investors relative to those of unsophisticated investors predict stock market returns? In the September 2020 revision of his paper entitled “Relative Sentiment and Machine Learning for Tactical Asset Allocation”, flagged by a subscriber, Raymond Micaletti investigates use of relative Sentix sentiment for tactical asset allocation. He each month constructs relative… Keep Reading

Below is a weekly summary of our research findings for 9/8/20 through 9/11/20. 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.

How do mutual funds and hedge funds change their stock holdings in response to a sharp market crash? In their July 2020 paper entitled “Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from COVID-19”, Simon Glossner, Pedro Matos, Stefano Ramelli and Alexander Wagner analyze changes in institutional and retail stock holdings during the… Keep Reading

How do U.S. non-profit endowment funds allocate and perform? In their November 2019 paper entitled “The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds”, Andrew Lo, Egor Matveyev and Stefan Zeume examine recent asset allocations and investment returns of U.S. public non-profit endowment funds. Due to the unstructured nature of asset reporting, they manually… Keep Reading

Below is a weekly summary of our research findings for 8/31/20 through 9/4/20. 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.

How well did previously identified portfolio risk management strategies work during the COVID-19 market crash? In their July 2020 paper entitled “Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff”, Campbell Harvey, Edward Hoyle, Sandy Rattray and Otto Van Hemert extended analyses of risk management strategies they identified in a 2016-2019 series of papers… Keep Reading

Below is a weekly summary of our research findings for 8/24/20 through 8/28/20. 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.

Does nominal stock price matter for associated option returns? In their May 2020 paper entitled “Cheap Options Are Expensive”, Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov evaluate option returns across the range of U.S. stock prices. For each stock each month, they: Pick a single call option and a single put option closest to at-the-money… Keep Reading

Are portfolios of U.S. stocks that are double-sorted to capture benefits of two complementary return anomalies attractive? In their July 2020 paper entitled “Interacting Anomalies”, Karsten Müller and Simon Schmickler test all possible double-sorted portfolios across 102 stock return anomalies (10,302 double-sorts). They employ 5×5 double-sorts, first ranking stocks into fifths (quintiles) for one anomaly… Keep Reading

A subscriber asked for a comparison of two 50%-50% monthly rebalanced combinations of Simple Asset Class ETF Value Strategy (SACEVS) and Simple Asset Class ETF Momentum Strategy (SACEMS) portfolios, as follows: 50-50 Best Value + EW Top 2: SACEVS Best Value plus SACEMS EW Top 2, employing a somewhat more aggressive momentum portfolio. 50-50 Best… Keep Reading