Investing Research Articles

Are portfolios of U.S. stocks that are double-sorted to capture benefits of two complementary return anomalies attractive? In their July 2020 paper entitled “Interacting Anomalies”, Karsten Müller and Simon Schmickler test all possible double-sorted portfolios across 102 stock return anomalies (10,302 double-sorts). They employ 5×5 double-sorts, first ranking stocks into fifths (quintiles) for one anomaly… Keep Reading

A subscriber asked for a comparison of two 50%-50% monthly rebalanced combinations of Simple Asset Class ETF Value Strategy (SACEVS) and Simple Asset Class ETF Momentum Strategy (SACEMS) portfolios, as follows: 50-50 Best Value + EW Top 2: SACEVS Best Value plus SACEMS EW Top 2, employing a somewhat more aggressive momentum portfolio. 50-50 Best… Keep Reading

Below is a weekly summary of our research findings for 8/17/20 through 8/21/20. 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.

How might an investor construct a portfolio of very risky assets? To investigate, we consider: First, diversifying with monthly rebalancing of: Bitcoin Investment Trust (GBTC), representing a very long-term option on Bitcoins. VanEck Vectors Junior Gold Miners ETF (GDXJ), representing a very long-term option on gold. ProShares Short VIX Short-Term Futures (SVXY), to capture part… Keep Reading

A subscriber asked whether forcing the Simple Asset Class ETF Momentum Strategy (SACEMS) to agree with the Simple Asset Class ETF Value Strategy (SACEVS) when the latter assigns zero weight to stocks or government bonds improves the performance of the former. Specifically, the suggested change would force to Cash in SACEMS any allocation to SPDR… Keep Reading

Below is a weekly summary of our research findings for 8/10/20 through 8/14/20. 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 real (inflation-adjusted) price of gold indicate future gold return? If so, what is the current indication? In their August 2020 paper entitled “Gold, the Golden Constant, COVID-19, ‘Massive Passives’ and Déjà Vu”, Claude Erb, Campbell Harvey and Tadas Viskanta examine behavior and implications of real gold price (gold price in U.S. dollars per… Keep Reading

Do stocks added to major indexes, such as the S&P 500 Index, exhibit exceptionally strong subsequent returns? In their July 2020 paper entitled “Does Joining the S&P 500 Index Hurt Firms?”, Benjamin Bennett, René Stulz and Zexi Wang investigate effects on firms/stocks of joining the S&P 500 Index and whether these effects change over time…. Keep Reading

Below is a weekly summary of our research findings for 8/3/20 through 8/7/20. 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.

Is the nominal incentive fee charge by hedge funds (typically 20% of profits exceeding a previous high-water mark) representative of the actual aggregate incentive fee paid by fund investors? In the July 2020 revision of their paper entitled “The Performance of Hedge Fund Performance Fees”, Itzhak Ben-David, Justin Birru and Andrea Rossi (1) quantify the… Keep Reading