Testing Bond Allocation Strategies
...evidence indicates that investors may be able to exploit interest rate trend changes derived from Federal Reserve policy pivots to boost net risk-adjusted returns from bond holdings.
Investing Research Articles
3847 Research Articles
Evaluation of ChartsEdge Weekly Forecasts
Reader Mike Korell of ChartsEdge suggested an evaluation of his own S&P 500 Index forecasts for inclusion in Gurus. These “stock market forecasts are based on cycle data which has been analyzed by a Pattern...
An Era of Unstable Risk Premiums?
...investors should assess and compare asset classes based on dynamic estimates of respective risk premiums (implied returns derived from current prices and estimated cash flows) to guide asset class allocation and market timing.
All the Equity Risk Premiums?
...estimates of the reward for risking equity investment vary with sample period, market and calculation method. Estimates tend to be higher when GDP is volatile and nominal interest rates are low.
Jim Rohrbach’s Technical Timing Approach
...evidence from straightforward tests on a fairly small sample does not support a belief that Jim Rohrbach's timing approach (including service fees) beats simple benchmarks.
Outperformance Streaks and Mutual Fund Manager Skill
...evidence from analysis of market outperformance streaks among actively managed U.S. mutual funds indicates that fund manager skill is material to fund performance.
Hedging Crashes: Volatility Futures vs. Index Puts
...evidence indicates that 3-month rolling VIX futures contracts may be the preferred way for investors to hedge stock market positions against crashes.
CFA or MBA or School of Hard Knocks?
...evidence from an array of tests does not support beliefs that CFA designation, MBA degree and level of experience are critical success factors for investment managers.
How About The Gleason Report?
...while The Gleason Report's Stock Value Model has performed well in real time (as claimed) since 1999, the performance sample is very small for reliable inference in terms of number of signals, and the most...
Industrial Metals as Asymmetric Equity Return Predictors
...evidence indicates that investors may be able to exploit industrial metal prices as a leading indicator of stock market returns by recognizing that the relationship is positive (negative) for bad (good) economic conditions.
Hindenburg Omens?
...evidence from simple tests of a publicly available set of "confirmed" Hindenburg Omens suggests the possibility of usefulness, but reservations regarding small sample size and potential sample bias are strong.
Indicators of Hedge Fund Performance Persistence
...evidence indicates that hedge fund investors should focus on funds with the best past performances and the most distinctive (uncorrelated) strategies.
Momentum and Moving Averages for Currencies
...findings suggest that momentum, whether based on past returns or moving averages, exists to some degree for currencies. The studies appear not to address combining past returns and moving averages to predict currency market returns.
Exploiting Predictability of Individual Hedge Funds
...evidence indicates that large (diversified) hedge fund investors may be able to exploit multiple predictive factors by averaging their predictive powers to enhance returns derived from selecting recent past winners.
Momentum Timing of Junk Bond Fund?
...evidence from simple tests suggest that junk bond mutual funds exhibit return momentum perhaps exploitable via a multi-asset class allocation strategy (but not a standalone timing strategy).
Market Models Summary Augmentation
Two charts added to “Market Models”, a backtest of the 6-month forecasts and a current valuation map, offer context for the projections from the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of...
Factor Universality?
...evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks...
Simple Counter Trend Trade for the Stock Market?
...evidence from simple tests does not support application of the counter trend trade to the broad U.S. stock market.
Momentum in U.S. Corporate Bond Returns
...evidence indicates that investors may be able to exploit momentum in U.S. corporate bond returns by focusing on past winners among low-grade issues.
Testing Engulfing Candlesticks
...given the fairly small size of any abnormalities, standard deviations of returns that are much larger than any abnormalities and the rareness of signals, it seems unlikely that a trader could materially exploit bullish and...
A Few Notes on Harmonic Trading, Volume Two
In his 2010 book entitled Harmonic Trading: Volume Two Advanced Strategies for Profiting from the Natural Order of the Financial Markets, author Scott Carney “offers unprecedented strategies that identify the areas where overall trend divergence...
A Few Notes on Harmonic Trading, Volume One
...Harmonic Trading: Volume One describes an approach to developing expectations for the behavior of financial asset and asset class prices based on the belief that these prices naturally follow trajectories (form patterns) generated by a...
The Equity Risk Premium Through 2008
...evidence from the most credible models of the historical U.S. equity risk premium converge to an annual value in the range 4% to 4.5% during 1872-1950 and 1951-2008.
Simple Versus Complex Valuation Metrics
...evidence indicates that portfolios constructed from ranking stocks based on complex valuation metrics may materially outperform those constructed from simple valuation metrics.
Testing Navellier’s Stock Picking and Market Timing Based on Fund Performance
Navellier & Associates, Inc. offers one Navellier-branded mutual fund, Navellier Fundamental A (NFMAX), “designed to achieve the highest possible returns while minimizing risk.” Selection criteria for fund holdings, re-measured quarterly, “include earnings growth, profit margins,...