Investing Research Articles

Why is trend following so persistently popular among investors? In their March 2022 paper entitled “A Guide to Trend Following Strategies”, Stuart Broadfoot and Daniel Leveau describe popular trend identification methods and provide an example of how to build/test a multi-asset class trend following strategy in four steps. Using trend following index data during January… Keep Reading

Should investors in low-cost mutual funds consider active ones? In his April 2023 paper entitled “Vanguard and Fidelity Domestic Active Stock Funds: Both Beat their Style Mimicking Vanguard Index Funds, & Vanguard Beats by More”, Edward Tower compares returns of active Vanguard and Fidelity stock mutual funds to those of style-mimicking portfolios of Vanguard index… Keep Reading

Below is a weekly summary of our research findings for 5/30/23 through 6/2/23. 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.

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value Strategy”: Invesco DB… Keep Reading

A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month (TOTM) returns for the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all of which have… Keep Reading

A subscriber asked about the performance of the 50-50  Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 in combination with “Sell in May”. To investigate, we compare three alternatives: Best Value – EW Top 2 – holds 50-50 SACEVS Best Value-SACEMS EW Top 2 during all… Keep Reading

How does the U.S. stock market typically react to U.S. debt ceiling discussions/actions? To investigate, we look at cumulative S&P 500 Index returns around actions to change the debt ceiling. Using daily S&P 500 Index returns and debt ceiling action dates during mid-June 1940 through May 2023 (90 quantitative actions), we find that:

Below is a weekly summary of our research findings for 5/22/23 through 5/26/23. 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.

For the last half-century, financial researchers have fallen short of scientific rigor, focusing on associations not supported by theory and not amenable to falsification. Is there is hope for finance to become a scientific field? In his April 2023 paper entitled “The Hierarchy of Empirical Evidence in Finance”, Marcos Lopez de Prado proposes a hierarchy… Keep Reading

Simple moving averages (SMA) are perhaps the most widely used and simplest market regime indicators. For example, many investors estimate that a stock index, exchange-traded fund (ETF) or individual stock priced above (below) its 200-day SMA is in a good (bad) regime. Do SMA signals/signal combinations usefully and consistently distinguish good and bad regimes across… Keep Reading