Investing Research Articles

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.

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

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

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

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

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

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.

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

What are asset class return expectations and associated portfolio allocations of very sophisticated U.S. investors? In their February 2019 paper entitled “The Return Expectations of Institutional Investors”, Aleksandar Andonov and Joshua Rauh analyze disclosures of expected returns across asset classes among U.S. public pension funds, which hold assets of about $4 trillion (see the first… Keep Reading

A subscriber asked for verification of the finding in “Is Buying Stocks at an All-Time High a Good Idea?” that it is not only a good idea, but a great one, including comparison to a moving average crossover rule. To investigate, we use the S&P 500 Index as a proxy for the U.S. stock market… Keep Reading