Investing Research Articles

A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving average (SMA10) for the broad U.S. stock market. The trend is positive (negative) when the market is above (below) its… Keep Reading

Below is a weekly summary of our research findings for 10/28/19 through 11/1/19. 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 reader asked about the usefulness of the S&P Short-range Oscillator as sometimes used by Jim Cramer to forecast U.S. stock market returns. The self-reported “Performance” of the oscillator, relying on in-sample visual inspection with snooped thresholds, is of small use. Since continuous historical values of the indicator are not publicly available, we conduct an… Keep Reading

Below is a weekly summary of our research findings for 10/21/19 through 10/25/19. 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 reader requested review of the Decision Moose asset allocation framework. Decision Moose is “an automated stock, bond, and gold momentum model developed in 1989. Index Moose uses technical analysis and exchange traded index funds (ETFs) to track global investment flows in the Americas, Europe and Asia, and to generate a market timing signal.” The… Keep Reading

Is the conventional wisdom that exchange-traded funds (ETF) are efficient, low-cost alternatives to mutual funds correct? In their September 2019 paper entitled “The Performance of Exchange-Traded Funds”, David Blitz and Milan Vidojevic evaluate the performance of a comprehensive, survivorship bias-free sample of U.S. equity ETFs. They first divide the sample into three groups: (1) broad… Keep Reading

How can investment strategy researchers best address the randomness inherent in market data and the ability of investors/markets to adapt to changing conditions? In his September 2019 paper entitled “Tactical Investment Algorithms”, Marcos Lopez de Prado reviews three methods for testing the performance of an investment rule: Walk-forward (WF) tests a rule against an actual… Keep Reading

Below is a weekly summary of our research findings for 10/14/19 through 10/18/19. 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.

Is there a way that asset managers can share knowledge/data across proprietary boundaries with many researchers to advance development of investment strategies? In their September 2019 paper entitled “Crowdsourced Investment Research through Tournaments”, Marcos Lopez de Prado and Frank Fabozzi describe highly structured tournaments as a crowdsourcing paradigm for investment research. In each such tournament,… Keep Reading

The following list links to summaries of recent (since 2010) investment research using long data samples. These summaries may be helpful in developing strategic allocations and tactical wariness for long-horizon investments. “Commodity Futures Risk Premium Over the Long Run” – estimates the historical risk premium of dead and live commodity futures contract series as available… Keep Reading