Investing Research Articles

How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) and the exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency. Using monthly dividend-adjusted closing prices for FXY and the asset… Keep Reading

Below is a weekly summary of our research findings for 9/3/19 through 9/6/19. 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 market makers and sophisticated investors/traders determine option value? In his July 2019 essay entitled “Trading Volatility”, Emanuel Derman outlines the history and shortcomings of option valuation as described by the Black-Scholes model, which estimates the value of an option on an asset as a function of the asset’s price and volatility. He also… Keep Reading

Below is a weekly summary of our research findings for 8/26/19 through 8/30/19. 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.

“SACEMS-SACEVS for Value-Momentum Diversification” finds that the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) are mutually diversifying. Do longer samples available from “SACEVS Applied to Mutual Funds” and “SACEMS Applied to Mutual Funds” confirm this finding? To check, we look at the following three equal-weighted (50-50) combinations of the two strategies, rebalanced… Keep Reading

How does the market react when firms announce adoption of blockchain technology? In the May 2019 draft of their paper entitled “Bitcoin Speculation or Value Creation? Corporate Blockchain Investments and Stock Market Reactions”, Don Autore, Nicholas Clarke and Danling Jiang study stock price reactions to initial public announcements of investments in blockchain technology by listed… Keep Reading

In response to “OFR FSI as Stock Market Return Predictor”, a subscriber suggested overlaying a 10-month simple moving average (SMA10) technical indicator on the Office of Financial Research Financial Stress Index (OFR FSI) fundamental indicator for timing SPDR S&P 500 (SPY). The intent of the suggested overlay is to expand risk-on opportunities safely. To test… Keep Reading

Below is a weekly summary of our research findings for 8/19/19 through 8/23/19. 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 should investors expect to see in a typical investment advisor’s model portfolio? In their July 2019 paper entitled “Factors and Advisors Portfolios”, Brian Lawler, Andrew Ang, Brett Mossman and Patrick Nolan examine patterns and factor exposures in detailed holdings for a large number of model portfolios from many types of investment advisors. When holdings… Keep Reading

Should investors consider allocations to products that track equity volatility indexes? In her July 2019 paper entitled “Challenges of Indexation in S&P 500 Index Volatility Investment Strategies”, Margaret Sundberg examines whether behaviors of S&P 500 Index option-based volatility indexes justify treatment of volatility as an asset class. To assess potential strategies, she employs the following… Keep Reading