Investing Research Articles

A subscriber asked about performance of Simple Asset Class ETF Momentum Strategy (SACEMS) hedge portfolios, which each month buy the asset class exchange-traded funds (ETF) in the SACEMS universe with the highest past returns and sell (short) those with the lowest. To investigate, we look at three hedge portfolios: Top 1 – Bottom 1: long… Keep Reading

Below is a weekly summary of our research findings for 11/1/21 through 11/5/21. 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 past performance of Environmental, Social, and Corporate Governance (ESG) stocks derive mostly from shift in demand from other stocks to ESG stocks? In his September 2021 paper entitled “Flow-Driven ESG Returns”, Philippe van der Beck examines whether flow of investor dollars toward ESG mutual funds explains aggregate performance of ESG stocks, as follows: Construct… Keep Reading

Does the U.S. employment quit rate, a measurement from the Job Openings and Labor Turnover Survey run monthly by the U.S. Bureau of Labor Statistics, have implications for future U.S. stock market or U.S. Treasury bond return? A high (low) quit rate may indicate a strong (weak) economy and/or may signal high (low) wage inflation…. Keep Reading

What returns should investors expect from Non-fungible Tokens (NFT) as an alternative asset class? In the October 2021 revision of their paper entitled “Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible Token (NFT)”, De-Rong Kong and Tse-Chun Lin investigate returns of NFTs, which represent ownership of digital assets via blockchains. NFT… Keep Reading

Below is a weekly summary of our research findings for 10/25/21 through 10/29/21. 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 adding a position take-profit (stop-gain) rule improve the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) by harvesting some upside volatility? SACEMS each months picks winners from among the a set of eight asset class exchange-traded fund (ETF) proxies plus cash based on past returns over a specified interval. To investigate the value… Keep Reading

Does adding a position stop-loss rule improve the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) by avoiding some downside volatility? SACEMS each months picks winners from among the a set of eight asset class exchange-traded fund (ETF) proxies plus cash based on past returns over a specified interval. To investigate the value of… Keep Reading

Below is a weekly summary of our research findings for 10/18/21 through 10/22/21. 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.

Below is a weekly summary of our research findings for 10/11/21 through 10/15/21. 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.