Investing Research Articles

Has growth in futures-based exchange-traded funds (ETF) predictably affected pricing of underlying assets? In his November 2019 paper entitled “Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets”, Karamfil Todorov investigates impacts of ETF trading on pricing of futures on equity volatility (VIX) and commodities, the two asset classes most dominated by ETFs…. Keep Reading

Below is a weekly summary of our research findings for 2/10/20 through 2/14/20. 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 robo-analysts, who apply technology to mass-produce recommendations with limited human intervention, better stock pickers than traditional human analysts? In their January 2020 preliminary (and incomplete) paper entitled “Man Versus Machine: A Comparison of Robo-Analyst and Traditional Research Analyst Investment Recommendations”, Braiden Coleman, Kenneth Merkley and Joseph Pacelli compare distribution, revision frequency and performance for… Keep Reading

Are there any investors who have compellingly beaten the market? In his December 2019 paper entitled “Medallion Fund: The Ultimate Counterexample?”, Bradford Cornell reviews performance of the Medallion Fund from Renaissance Technologies as a clear refutation of market efficiency. He focuses on gross returns (including portfolio trading frictions, but not management fees), because they reflect… Keep Reading

Below is a weekly summary of our research findings for 2/3/20 through 2/7/20. 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 exchange-traded funds (ETF) that operate like rule-based (passive) hedge funds offer attractive performance? In their December 2019 paper entitled “The Performance of Passively-Managed Hedged ETFs”, Jason Cheng, Joseph Fung and Eric Lam examine performance of passively-managed hedged ETFs (HETF) as of the end of 2017. These funds attempt to replicate a hedge fund index… Keep Reading

Is there a better stock value ratio than commonly used ones such as book-to-market, dividend-to-price, earnings-to-price and cash flow-to-price ratios? In the January 2020 revision of his paper entitled “A New Value Strategy”, Baolian Wang investigates the effectiveness of cash-based operating profitability-to-price (COP/P) as a value ratio. He computes COP as operating profitability minus accruals,… Keep Reading

Does return distribution skewness predict relative performance of assets across asset classes? In their December 2019 paper entitled “Cross-Asset Skew”, Nick Baltas and Gabriel Salinas investigate realized skewness as a relative return predictor within and across four asset classes (equity indexes, government bonds, currencies and commodities). Specifically, at the end of each month, they: For… Keep Reading

Below is a weekly summary of our research findings for 1/27/20 through 1/31/20. 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.

“Identifying VXX/SVXY Tendencies” finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Short VIX Short-Term Futures ETF (SVXY) returns. VXX and SVXY target… Keep Reading