Investing Research Articles

Below is a weekly summary of our research findings for 12/19/22 through 12/23/22. 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 requested evaluation of a strategy that seeks to exploit U.S stock market reversion after dips by temporarily applying margin. Specifically, the strategy: At all times holds the U.S. stock market. When the stock market closes down more than 7% from its high over the past year, augments stock market holdings by applying 50%… Keep Reading

In response to a prior analysis (updated here), a subscriber asked whether adding a simple moving average (SMA) filter to “Simple Asset Class ETF Momentum Strategy” (SACEMS) assets, either before or after ranking them based on past returns, improves strategy performance. SACEMS each month picks winners from among the a set of eight asset class… Keep Reading

Below is a weekly summary of our research findings for 12/12/22 through 12/16/22. 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 whether currency exchange rates exhibit reliable seasonality that may be used to time equities (with a stronger currency implying lower asset prices). To investigate, we look for reliable calendar month effects for the U.S. dollar (USD)-euro exchange rate and for Invesco DB US Dollar Index Bullish Fund (UUP). We further look at… Keep Reading

Are models based on advanced machine learning adept at predicting returns for individual emerging market stocks? In the November 2022 version of their paper entitled “Machine Learning and the Cross-section of Emerging Market Stock Returns”, Matthias Hanauer and Tobias Kalsbach compare abilities of machine learning models to predict emerging market stock returns. They consider nine… Keep Reading

Do monthly retail sales data reliably predict U.S. stock market behavior? To investigate, we relate monthly change in retail sales to monthly S&P 500 Index return. We consider both seasonally adjusted (SA) and non-seasonally adjusted (NSA) retail sales series, as compiled by the the U.S. Census Bureau. Using monthly levels of retail sales and the… Keep Reading

Why do equal-weighted (EW) portfolios outperform their market capitalization-weighted, or value-weighted (VW), counterparts over multiple decades in various investment universes? In their November 2022 paper entitled “Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?”, Alexander Swade, Sandra Nolte, Mark Shackleton and Harald Lohre analyze drivers of differences in performance between EW and VW U.S. stock… Keep Reading

Below is a weekly summary of our research findings for 12/5/22 through 12/9/22. 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.

Why do portfolios formed from the principal components of many long-short stock return factors from two recent studies, one covering 207 factors and the other 153 factors (with overlap 97), have such different out-of-sample gross Sharpe ratios? In their November 2022 paper entitled “Factor Returns and Out-of-Sample Alphas: Factor Construction Matters”, Hendrik Bessembinder, Aaron Burt… Keep Reading