Investing Research Articles

How can the low-volatility effect, whereby stocks with low past volatility tend to outperform the market on a risk-adjusted basis (but lag during long bull markets), help achieve common investment goals? In their October 2024 paper entitled “Leveraging the Low-Volatility Effect”, Lodewijk van der Linden, Amar Soebhag and Pim van Vliet test ways to use… Keep Reading

How can schemers use statistics to fool investors? In the October 2024 revision of their paper entitled “The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People”, Carlo Zarattini and Andrew Aziz illustrate use of a Martingale betting system to shape the short-term profitability of trading strategies. This system involves increasing… Keep Reading

The market view of Bitcoin has increasingly shifted from a potentially useful currency to an investment asset with no yield but potentially high capital gain. What are the implications of its success in the latter role? In their October 2024 paper entitled “The Distributional Consequences of Bitcoin”, Ulrich Bindseil and Jürgen Schaaf model a scenario… Keep Reading

Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2024, we find that:

Can investors reliably exploit the somewhat opaquely presented strategy summarized in “Using Wilder Volatility Stops to Time the U.S. Stock Market”, which employs Welles Wilder’s Average True Range (ATR) volatility metric to generate buy and sell signals for broad U.S. stock market indexes? To investigate, we each trading day for the SPDR S&P 500 ETF… Keep Reading

Below is a weekly summary of our research findings for 10/28/24 through 11/1/24. 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 some mutual fund managers game Morningstar ratings/benchmarks by shifting the styles of their funds? In their September 2024 paper entitled “Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings”, Lauren Cohen, David Kim and Eric So investigate how mutual fund managers exploit investor reliance on Morningstar ratings by adjusting holdings to jump their funds… Keep Reading

Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections…. Keep Reading

Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by Vanguard, as follows: Vanguard Target Retirement 2020 Fund (VTWNX) Vanguard Target Retirement 2025 Fund (VTTVX) Vanguard Target Retirement 2030 Fund… Keep Reading

Does investor fear level predict U.S. Treasury instrument returns? In their September 2024 paper entitled “Fear in the ‘Fearless’ Treasury Market”, Tianyang Wang, Yuanzhi Wang, Qunzi Zhang and Guofu Zhou examine how investor fear relates to future returns on U.S. Treasuries. They define bond risk premiums by duration as annual returns in excess of the… Keep Reading