Investing Research Articles

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily… Keep Reading

At the suggestion of one of his subscribers, Willi Bambach requested independent review of his 1g QMP [Quantified Market Psychology] strategy, tracked since December 2007 on TimerTrac. To facilitate a review, he provided a brief description of the strategy and a medallion (https://timertrac.com/private/medallion.asp?mlid={CDD4AEE6-2A1D-4917-A571-DF23C884D1D3}) to enable public access to the strategy on TimerTrac (very slow to… Keep Reading

Are Zero-Days-to-Expiration (0DTE) options attractive trading vehicles? In his November 2023 paper entitled “0DTE Trading Rules”, Grigory Vilkov surveys outcomes for popular strategies that each day take unhedged positions in cash-settled 0DTE options on the S&P500 Index and hold to expiration. He considers simple trading rules that open positions at a fixed time (10:00 in… Keep Reading

Does market volatility predictably affect returns to simple moving average (SMA) trend-following strategies? In their November 2023 paper entitled “Market Volatility and the Trend Factor”, Ming Gu, Minxing Sun, Zhitao Xiong and Weike Xu investigate how stock market volatility affects multi-SMA trend factor profitability. They first assess significance of the trend factor premium, as follows:… 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

Below is a weekly summary of our research findings for 12/11/23 through 12/15/23. 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.

What trading experience makes individual day traders quit trading? In their November 2023 paper entitled “Why Do Individuals Keep Trading and Losing?”. Fernando Chague, Bruno Giovannetti, Bernardo Guimaraes and Bernardo Maciel study the life cycle of individual traders who repeatedly open and close stock or futures positions on the same trading day. They focus on… Keep Reading

Should investors focus on global equity factors or local (country) equity factors when trying to predict their local market returns? In their November 2023 paper entitled “How Global is Predictability? The Power of Financial Transfer Learning”, Oliver Hellum, Lasse Heje Pedersen and Anders Rønn-Nielsen compare the importance of global factors versus local factors for predicting… Keep Reading

Should qualified investors count on global macro (GM) and managed futures (MF, or alternatively CTA for commodity trading advisors) hedge funds to beat the market? In their November 2023 paper entitled “Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?”, Rodney Sullivan and Matthew Wey assess the performances of GM and MF hedge fund… Keep Reading

With stock portfolio construction increasingly based on “black box” machine learning models with very large numbers of inputs, how can investors decide whether portfolio recommendations make sense? In their November 2023 paper entitled “The Anatomy of Machine Learning-Based Portfolio Performance”, Philippe Coulombe, David Rapach, Christian Montes Schütte and Sander Schwenk-Nebbe describe a way to use… Keep Reading