Investing Research Articles

How different are stock market performance metrics for: Capital gains only, capital gains plus dividends accrued as cash (spent or saved), and capital gains plus dividends reinvested in the stock market? Nominal versus real returns? Simple return-to-risk calculations versus Sharpe ratio? Using quarterly S&P 500 Index levels and dividends, quarterly U.S. Consumer Price Index (CPI) data (all… Keep Reading

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading

What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki Noh examine interactions of stock mispricing and news release sentiment. They consider 11 mispricing signals to identify overpriced and underpriced… Keep Reading

Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. 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.

A subscriber observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate, we compare the following two versions of the Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2 portfolio:… Keep Reading

Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate corporate earnings divided by corresponding stock index level. The REY model adjusts this earnings yield by subtracting the inflation rate… Keep Reading

Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), based on substituting: ProShares Ultra… Keep Reading

Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a global view. “U.S. Equity Premium?” – evidence from simple tests on about 21 years of data suggests that stock market… Keep Reading

Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the current state of and prospects for the U.S…. Keep Reading

Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. 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.