Investing Research Articles

Below is a weekly summary of our research findings for 3/13/23 through 3/17/23. 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.

Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper entitled “The Dynamics of Defined Outcome Exchange Traded Funds”, Luis García-Feijóo and Brian Silverstein analyze average performance of the Innovator… Keep Reading

Can machine learning perfect equity sector rotation? In the January 2023 version of their paper entitled “Deep Sector Rotation Swing Trading”, flagged by a subscriber, Joel Bock and Akhilesh Maewal present a sector rotation strategy guided by multiple-input, multiple output deep learning model. The strategy chooses weekly from among 11 U.S. sectors using exchange-traded fund… Keep Reading

“Simplified Offensive, Defensive and Risk Mode Identification Momentum Strategy” describes a strategy that each month holds offensive (defensive) assets when average return on iShares TIPS Bond ETF (TIP) over the past 1, 3, 6 and 12 months is positive (negative). Is past return of TIP, which purely impounds investor expectations for U.S. inflation, a reliable… Keep Reading

Below is a weekly summary of our research findings for 3/6/23 through 3/10/23. 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 there a way to restore/enhance the relevance to investors of the Fed model, which is based on a putative investor-driven positive relationship between stock market earnings yield (equity earnings-to-price ratio) and U.S. Treasury bond (10-year) yield? In his February 2023 paper entitled “The Fed Model: Is it Still With Us?”, David McMillan re-examines the… Keep Reading

Can investors use volatility signals to identify short-term stock market trend changes? In his February 2023 paper entitled “Using Volatility to Add Alpha and Control Portfolio Risk”, John Rothe uses Welles Wilder’s Average True Range (ATR) volatility metric to generate buy and sell signals for broad U.S. stock market indexes. Specifically, he each trading day:… Keep Reading

Below is a weekly summary of our research findings for 2/27/23 through 3/3/23. 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 measurement of a “premium” associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares MSCI EAFE Index Fund (EFA) Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by… Keep Reading

The Weekly Economic Index (WEI) is a composite of weekly year-over-year percentage changes in 10 economic indicators: Redbook same-store sales; Rasmussen Consumer Index; new claims for unemployment insurance; continued claims for unemployment insurance; adjusted income/employment tax withholdings; railroad traffic originated; the American Staffing Association Staffing Index; steel production; wholesale sales of gasoline, diesel and jet… Keep Reading