Investing Research Articles

Does a decade of underperformance by some widely followed stock value strategies mean it is time to throw in the towel? In their March 2020 paper entitled “Is (Systematic) Value Investing Dead?”, Ronen Israel, Kristoffer Laursen and Scott Richardson assess the value of (near-term, say two years) fundamental information as a driver of stock returns… Keep Reading

Below is a weekly summary of our research findings for 4/20/20 through 4/24/20. 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.

Robo-advisors provide investors automated financial advice with varying levels of sophistication and degrees of individual tailoring. In their December 2019 book chapter entitled “Robo-advising”, Francesco D’Acunto and Alberto Rossi catalog the main features of robo-advising with respect to personalization, discretion, involvement and human interaction. They consider robo-advisors designed to assist short-term and medium-term (active) trading… Keep Reading

Does shorting the iPath S&P 500 VIX Short-Term Futures ETN (VXX) with crash protection (attempting to capture the equity volatility risk premium safely) work? To investigate, we apply crash protection rules to three VXX shorting scenarios: Let It Ride – shorting an initial amount of VXX and letting this position ride indefinitely. Fixed Reset – shorting… Keep Reading

A subscriber requested testing Martin Zweig’s Combined Super Model, which each month specifies an equity allocation based on a system that assigns up to eight points from his Monetary Model and 0 or 2 points from his Four Percent Model. We consider two versions of the Combined Super Model: Zweig-Cash – Allocate to Fidelity Fund… Keep Reading

Below is a weekly summary of our research findings for 4/13/20 through 4/17/20. 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.

Are equity factors used in leading models of stock returns reliable performers in practice? In his March 2020 paper entitled “Factor Performance 2010-2019: A Lost Decade?”, David Blitz measures performances of factors tracked in the Kenneth French data library and the q-factor model library during 2010-2019 and compares results to their performances in prior decades…. Keep Reading

Low-risk investment strategies buy or overweight low-risk assets and sell or underweight high-risk assets. Growth in low-risk investing is stimulating much pro and con debate in the financial community. Which assertions are valid, and which are not? In their February 2020 paper entitled “Fact and Fiction about Low-Risk Investing”, Ron Alquist, Andrea Frazzini, Antti Ilmanen… Keep Reading

How can investors account for inflation expectations in estimating attractiveness of equities? In their March 2020 article entitled “The Equity Risk Premium: A Novel Perspective on the Past Fifty Years”, James White and Victor Haghani offer a perspective on stock market long-term (10-year) attractiveness based on Equity Risk Premium (ERP) calculated as the difference between:… Keep Reading

“Verification Tests of the Smart Money Indicator” performs tests of ideas and setup features described in “Smart Money Indicator for Stocks vs. Bonds”. The Smart Money Indicator (SMI) is a complicated variable that exploits differences in futures and options positions in the S&P 500 Index, U.S. Treasury bonds and 10-year U.S. Treasury notes between institutional… Keep Reading