Investing Research Articles

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging Markets Index… Keep Reading

A subscriber requested comparison of four variations of an “Ivy 5” asset class allocation strategy, as follows: Ivy 5 EW: Assign equal weight (EW), meaning 20%, to each of the five positions and rebalance annually. Ivy 5 EW + SMA10: Same as Ivy 5 EW, but take to cash any position for which the asset… Keep Reading

Below is a weekly summary of our research findings for 8/7/23 through 8/11/23. 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 conditions affect the correlation between stock and bond returns, a critical input to asset allocation decisions? In their July 2023 paper entitled “Empirical Evidence on the Stock-Bond Correlation”, Roderick Molenaar, Edouard Senechal, Laurens Swinkels and Zhenping Wang relate changes in this correlation to economic variables and analyze the implications of such changes for stock-bond… Keep Reading

How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in CPI and returns for each of the following 10 exchange-traded fund (ETF)… Keep Reading

Below is a weekly summary of our research findings for 7/31/23 through 8/4/23. 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 is the state of machine learning in finance? In their July 2023 paper entitled “Financial Machine Learning”, Bryan Kelly and Dacheng Xiu survey studies on the use of machine learning in finance to further its reputation as an indispensable tool for understanding financial markets. They focus on the use of machine learning for statistical… Keep Reading

During 1989 through 2019, the S&P 500 Index generated 5.5% real annual return, compared to just 2.5% annual real growth in U.S. gross domestic product (GDP). How can this disconnect happen? Can it continue? In the June 2023 version of his paper entitled “End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth… Keep Reading

Below is a weekly summary of our research findings for 7/24/23 through 7/28/23. 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.

Which previously researched variables or combinations of such variables best predict long-term U.S. stock market returns? In their June 2023 paper entitled “Estimating Long-Term Expected Returns”, Rui Ma, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti compare abilities of several yield, yield/growth, valuation variables and combinations across these categories of variables to predict 10-year and 20-year… Keep Reading