Investing Research Articles

Does widespread investor acceptance of the capital asset pricing model (CAPM) of stock returns drive undervaluation of stocks with low past alphas? In his February 2019 paper entitled “The Unintended Impact of Academic Research on Asset Returns: The CAPM Alpha”, Alex Horenstein examines whether such acceptance distorts the U.S. stock market. Specifically, he each year at the… Keep Reading

A subscriber asked about an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures as recommended in a 2014 Greyserman and Kaminski book [Trend Following with Managed Futures: The Search for Crisis Alpha], suggesting Equinox Campbell Strategy I (EBSIX) as an accessible managed futures fund. To investigate, we consider not only EBSIX… Keep Reading

Below is a weekly summary of our research findings for 3/25/19 through 3/29/19. 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.

A subscriber asked about applying the “Simple Asset Class ETF Momentum Strategy” to the funds available to U.S. federal government employees via the Thrift Savings Plan (TSP). To investigate, we test the strategy on the following five funds: G Fund: Government Securities Investment Fund (G) F Fund: Fixed Income Index Investment Fund (F) C Fund: Common Stock Index Investment Fund (C)… Keep Reading

Do momentum (nearest contract 12-month excess return), value (spot price change from one year ago to five years ago) and basis (12-month average ratio of nearest to next-nearest contract prices) commodity futures premiums hold up over the very long run? In their February 2019 paper entitled “Two Centuries of Commodity Futures Premia: Momentum, Value and… Keep Reading

What are potential monthly returns and alphas from applying machine learning to pick stocks? In their February 2019 paper entitled “Machine Learning for Stock Selection”, Keywan Rasekhschaffe and Robert Jones summarize basic concepts of machine leaning and apply them to select stocks from U.S. and non-U.S. samples, focusing on the cross-section of returns (as in… Keep Reading

What kinds of fundamental and technical indicators play well together? In their August 2018 paper entitled “When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis”, Zhaobo Zhu and Licheng Sun test performance of six stock portfolios that jointly exploit one of three popular fundamental indicators and one of two popular technical indicators,… Keep Reading

Below is a weekly summary of our research findings for 3/18/19 through 3/22/19. 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.

A subscriber asked about the validity of the assertion in “The Daily Shot” of February 26, 2019 (The Wall Street Journal) that “recent weakness in the ISM [Institute for Supply Management] Manufacturing PMI [Purchasing Managers’ Index] index points to downside risks for high-yield debt.” Such a relationship might support a strategy of switching between high-yield… Keep Reading

Below is a weekly summary of our research findings for 3/11/19 through 3/15/19. 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.