Investing Research Articles

A subscriber asked whether substituting the less volatile Vanguard Dividend Appreciation Index Fund (VIG) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) would improve outcomes. To investigate, we substitute monthly VIG dividend-adjusted returns for SPY dividend-adjusted returns in the two… Keep Reading

Below is a weekly summary of our research findings for 1/10/22 through 1/14/22. 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.

Trading Calendar presents full-year and monthly cumulative performance profiles for the overall U.S. stock market (proxied by the S&P 500 Index) based on average daily behavior. Do monthly behaviors of U.S. stock market sectors deviate from the overall market profile? To investigate, we consider the nine Select Sector Standard & Poor’s Depository Receipts (SPDR) exchange-traded… Keep Reading

Below is a weekly summary of our research findings for 1/3/22 through 1/7/22. 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.

Do models of the cross-section of future stock returns based on technical indicators work as well as those based on fundamental factors? In their December 2021 paper entitled “Technical Indicators and Cross-Sectional Expected Returns”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti investigate the combined abilities of 14 technical indicators to explain differences in… Keep Reading

How have active equity investment managers performed over the past three decades? In his November 2021 paper entitled “Active Equity Management, 1991-2020”, Gene Hochachka examines whether: (1) active equity managers as a group beat their benchmarks over the last 30 years; and, (2) active equity manager relative performance is persistence. By active equity managers, he… Keep Reading

In response to “Combining Defensive-in-May and Sector Reversion”, a subscriber requested testing of a strategy combining seasonal effects (cyclical sectors during November through April and defensive sectors during May through October) and sector momentum. Cyclical and defensive choices are: Cyclical: Materials Select Sector SPDR (XLB) Industrial Select Sector SPDR (XLI) Technology Select Sector SPDR (XLK)… Keep Reading

Below is a weekly summary of our research findings for 12/27/21 through 12/31/21. 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.

A subscriber hypothesized that a very large delta between daily iShares 20+ Year Treasury Bond (TLT) and SPDR S&P 500 (SPY) returns presages a stock market collapse, and asked for verification. To investigate, we consider two tests: Calculate correlations between daily TLT-SPY return delta and daily SPY returns over the next month (21 trading days)…. Keep Reading

Do monthly business inventories data, released with a lag of about 1.5 months, reliably predict U.S. stock market behavior? To investigate, we relate monthly change in business inventories to monthly S&P 500 Index return. Using survey-based monthly seasonally adjusted business inventories and the S&P 500 Index during January 1992 (limited by business inventories data) through… Keep Reading