Investing Research Articles

Many institutional investors are attempting to exploit alternative data (less structured and more obscure than traditional data) to boost portfolio performance, supporting a complex system of data collectors, aggregators and organizers. How do they approach this potential edge? In their October 2020 paper entitled “Alternative Data in Investment Management: Usage, Challenges and Valuation”, Gene Ekster… Keep Reading

Is there a better way than the Fed model to measure relative attractiveness of equities and bonds. In his October 2020 paper entitled “Towards a Better Fed Model”, Raymond Micaletti examines seven Fed Model alternatives, each comparing a 10-year forward annualized estimate of equity returns to the yield of 10-year constant maturity U.S. Treasury notes… Keep Reading

Below is a weekly summary of our research findings for 12/14/20 through 12/18/20. 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.

Do surprising fluctuations in short interest ratios of stocks indicate new information from short sellers that predicts returns of these stocks? In their November 2020 paper entitled “Surprise in Short Interest”, Matthias Hanauer, Pavel Lesnevski and Esad Smajlbegovic examine standardized unexpected short interest ratio as a stock return predictor. They define this variable as current… Keep Reading

A subscriber asked about a strategy that switches between an equal-weighted portfolio of Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM) when the S&P 500 Index is above its 200-day simple moving average (SMA200) and an equal-weighted portfolio of SPDR Gold Shares (GLD) and iShares 20+ Year Treasury Bond ETF (TLT) when below…. Keep Reading

Do extreme equity market valuations represent opportunities in value stocks? In their October 2020 paper entitled “Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium”, Stefano Cassella, Zhaojing Chen, Huseyin Gulen and Ralitsa Petkova test the hypothesis that extrapolating (momentum) investors bid up growth stocks in good times and bid down value stocks in… Keep Reading

Target-date funds (TDFs) are popular fund-of-funds retirement investments that offer asset class diversification and periodic rebalancing aimed at a specific retirement year. TDFs typically charge layers of fees (fund-of-funds fee plus fees of underlying funds). Can investors do better themselves? In their October 2020 paper entitled “Off Target: On the Underperformance of Target-Date Funds”, David… Keep Reading

Below is a weekly summary of our research findings for 12/7/20 through 12/11/20. 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 Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 35 exchange-traded products encompassing those used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS),… Keep Reading

Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects for options on U.S. common stocks. They focus on performance of straddles, combining a put and a call with the… Keep Reading