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Investing Research Articles

3596 Research Articles

Alternative Test of Using P/E10 Thresholds to Time the U.S. Stock Market

A subscriber proposed an alternative to the strategy tested in “Using P/E10 Thresholds to Time the U.S. Stock Market”, which rebalances a stocks-bonds portfolio based on Shiller cyclically adjusted price-to-earnings ratio (P/E10 or CAPE) thresholds, as follows: If P/E10 > 22, hold 40% stocks and 60% bonds. If 14 < P/E10 < 22, hold 60%… Keep Reading

Bollinger Bands: Buy Low and Sell High?

Are Bollinger Bands (BB) useful for deciding when to buy low and when to sell high the overall U.S. stock market? In other words, can an investor beat a buy-and-hold strategy by systematically buying (selling) when the market crosses below (above) the lower (upper) BB? To check, we examine the historical behavior of BBs around… Keep Reading

Weekly Summary of Research Findings: 12/2/19 – 12/6/19

Below is a weekly summary of our research findings for 12/2/19 through 12/6/19. 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.

Best Factor Model of U.S. Stock Returns?

Which equity factors from among those included in the most widely accepted factor models are really important? In their October 2019 paper entitled “Winners from Winners: A Tale of Risk Factors”, Siddhartha Chib, Lingxiao Zhao, Dashan Huang and Guofu Zhou examine what set of equity factors from among the 12 used in four models with… Keep Reading

Exploiting Consensus Hedge Fund Conviction Stock Picks

Can investors exploit information about hedge fund stock holdings in SEC Form 13F filings? In their October 2019 paper entitled “Systematic 13F Hedge Fund Alpha”, Mobeen Iqbal, Farouk Jivraj and Luca Angelini investigate whether carefully culled “best ideas” of equity hedge funds produce significantly beat the S&P 500 Total Return (TR) Index. Using quarterly Form… Keep Reading

Stick to the Plan, or Adjust?

When a retirement portfolio veers from its planned path, is it better to count on reversion-to-path or adjust the plan? In his March 2019 paper entitled “Managing to Target: Dynamic Adjustments for Accumulation Strategies”, Javier Estrada employs a simple retirement portfolio model to compare outcomes for sticking to the plan (S2P) with 13 dynamic strategies… Keep Reading

Ways to Beat the Stock Market?

Who beats the stock market and why? In his October 2019 paper entitled “The Five Investor Camps That Try to Beat the Stock Market”, William Ziemba discusses how different categories of investors succeed. For investors pursuing active strategies, he addresses broadly the means of getting an edge and betting well. Based on his academic work… Keep Reading

Using P/E10 Thresholds to Time the U.S. Stock Market

A subscriber requested verification of a fundamental U.S. stock market timing strategy with rebalancing/reallocation of a stocks-bonds portfolio based on Shiller cyclically adjusted price-to-earnings ratio (P/E10 or CAPE) thresholds, as follows: If P/E10 > 22, hold 40% stocks and 60% bonds. If 14 < P/E10 < 22, hold 60% stocks and 40% bonds. If P/E10… Keep Reading

Weekly Summary of Research Findings: 11/25/19 – 11/29/19

Below is a weekly summary of our research findings for 11/25/19 through 11/29/19. 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.

Misleading Mutual Fund Classifications?

Are Morningstar mutual fund profiles accurate? In their October 2019 paper entitled “Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds”, Huaizhi Chen, Lauren Cohen and Umit Gurun examine whether aggregate credit risks of actual of U.S. fixed income (corporate bond) mutual fund portfolios match those presented by Morningstar in respective fund… Keep Reading