Investing Research Articles

Larry Swedroe and Kevin Grogan introduce their 2019 book, Your Complete Guide to a Successful and Secure Retirement, as follows: “…failure to plan is to plan to fail. While so many of us have carefully planned our education, career choices, and family responsibilities, we tend to fail to prepare a written retirement life plan that considers, among other things, our… Keep Reading

Do expert investors (institutional stock portfolio managers) add value both by buying future outperforming stocks and by selling future underperforming stocks? In their December 2018 paper entitled “Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors”, Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas and Lawrence Schmidt examine trade decisions of experienced institutional (e.g., pension fund) stock portfolio… Keep Reading

Below is a weekly summary of our research findings for 1/28/19 through 2/1/19. 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.

Are some types of cars attractive alternative investments? In their September 2018 paper entitled “My Kingdom for a Horse (or a Classic Car)”, Dries Laurs and Luc Renneboog investigate price determinants and investment performance of classic cars from veteran cars (built 1888-1907) through modern classics (1975-1990). They estimate returns and risks for several classic car price indexes… Keep Reading

In response to “SACEMS with SMA Filter”, a subscriber suggested instead crash protection via momentum breadth (proportion of assets with positive momentum) by: Switching to 100% cash when fewer than four of eight Simple Asset Class ETF Momentum Strategy (SACEMS) non-cash assets have positive past returns. Scaling from cash into winners when four to eight risk assets… Keep Reading

A subscriber inquired about a “hot hand” strategy that each year picks the top performer from a family of diversified equity mutual funds (not including sector funds) and holds that winner the next year. To evaluate this strategy, we consider Vanguard diversified equity mutual funds with inceptions no later than September 2011. The test period is… Keep Reading

Do investors systematically undervalue stocks that have relatively large book-to-market fluctuations? In their December 2018 paper entitled “The Value Uncertainty Premium”, Turan Bali, Luca Del Viva, Menna El Hefnawy and Lenos Trigeorgis test whether book-to-market volatility relates positively to future returns. They specify book-to-market volatility as standard deviation of daily estimated book-to-market ratios divided by their average over the past 12… Keep Reading

Below is a weekly summary of our research findings for 1/22/19 through 1/25/19. 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.

Might purveyors of trading strategies be presenting performance results biased by stopping them when falsely successful? In other words, might they be choosing lucky closing conditions for reported positions? In the December 2018 revision of their paper entitled “p-Hacking and False Discovery in A/B Testing”, Ron Berman, Leonid Pekelis, Aisling Scott and Christophe Van den Bulte investigate whether online A/B… Keep Reading

Failure rate, the conventional metric for evaluating retirement portfolios, does not distinguish between: (1) failures early versus late in retirement; or, (2) small and large surpluses (bequests). Is there a better way to evaluate retirement portfolios? In their December 2018 paper entitled “Toward Determining the Optimal Investment Strategy for Retirement”, Javier Estrada and Mark Kritzman propose coverage ratio,… Keep Reading