Investing Research Articles

Does the number of factors significantly predicting next-month stock returns vary substantially over time? If so, what accounts for the variation? In their December 2021 paper entitled “Time Series Variation in the Factor Zoo”, Hendrik Bessembinder, Aaron Burt and Christopher Hrdlicka investigate time variation in the statistical significance of 205 previously identified equity factors before,… Keep Reading

Below is a weekly summary of our research findings for 1/31/22 through 2/4/22. 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 suggested expanding and modifying the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS) to consist of the following exchange-traded funds (ETF): SPDR Portfolio S&P 500 Growth (SPYG) SPDR Portfolio S&P 500 Value (SPYV) iShares Russell 2000 Growth (IWO) iShares Russell 2000 Value (IWN) Invesco QQQ Trust (QQQ) iShares MSCI EAFE Index (EFA)… Keep Reading

Are some passive exchange-trade-fund (ETF) managers more efficient than others in adjusting to changes in underlying benchmark indexes? In the December 2021 revision of his paper entitled “Should Passive Investors Actively Manage Their Trades?”, Sida Li employs daily holding data of passive ETFs to compare and quantify effects of different approaches to portfolio reformation to… Keep Reading

How do returns of different asset classes recently interact with uncertainty in government economic policy as quantified by the Economic Policy Uncertainty (EPU) Index? This index at the beginning of each month incorporates from the prior month: Coverage of policy-related economic uncertainty by prominent newspapers (50% weight). Number of temporary federal tax code provisions set… Keep Reading

Below is a weekly summary of our research findings for 1/24/22 through 1/28/22. 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.

How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-commodities producer price index (PPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in PPI and returns for each of the following 10 exchange-traded fund (ETF)… Keep Reading

A non-fungible token (NFT) is a way to record, verify and track on a blockchain ownership of a unique physical or digital asset such as a work of art, a futures contract, a music score, a book or real estate. Are assets related to trading of NFTs good investments? In the October 2021 version of… Keep Reading

Below is a weekly summary of our research findings for 1/18/22 through 1/21/22. 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.

Does the labor force participation rate, measured monthly by the U.S. Bureau of Labor Statistics along with employment and unemployment rate, predict U.S. stock market returns? An increasing (decreasing) participation rate may may indicate strong (weak) employment demand and therefore a strong (weak) economy. To investigate, we relate participation rate to performance of the S&P… Keep Reading