Investing Research Articles

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading

Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly: 50-50 Best Value – EW Top 2: SACEVS Best Value paired with SACEMS Equally… Keep Reading

Do S&P 500 earnings growth rates predict S&P 500 Index (SP500) returns? To investigate, we relate actual 12-month SP500 operating earnings growth rate and as-reported earnings growth rate measured quarterly to SP500 quarterly return. We use 12-month earnings growth rates to avoid confounding calendar effects. Actual earnings releases for a quarter occur throughout the next… Keep Reading

Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and Nowcasts”, Steven Sharpe and Antonio Gil de Rubio Cruz examine the quality of bottom-up forecasts of near-term S&P 500 earnings… Keep Reading

Below is a weekly summary of our research findings for 8/5/24 through 8/9/24. 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 active investment managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors. “NAAIM member firms who are active money managers are asked each week to provide a number which represents their overall equity exposure at the market close on a specific day… Keep Reading

Has ease of access to, and processing of, firm accounting data suppressed stock anomalies by leveling the information playing field? In their July 2024 paper entitled “The Effect of New Information Technologies on Asset Pricing Anomalies”, David Hirshleifer and Liang Ma test the effects of mandating Electronic Data Gathering, Analysis and Retrieval (EDGAR) during April… Keep Reading

What are the best ways to apply backtesting in the development of investment strategies? In their July 2024 paper entitled “The Three Types of Backtests”, Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso and Marcos Lopez de Prado offer guidance on backtesting best practices by reviewing: Strengths and weaknesses of the three main types of… Keep Reading

What is the distribution of U.S. common stock outcomes over the past century? In the July 2024 draft of his paper entitled “Which U.S. Stocks Generated the Highest Long-Term Returns?”, Hendrik Bessembinder presents cumulative returns and compound annual growth rates (CAGR) for all 29,078 publicly listed U.S. common stocks in the Center for Research in… Keep Reading

Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly: Change in VIX. Return for ProShares VIX Short-Term Futures ETF (VIXY). Return for ProShares Short VIX Short-Term Futures ETF (SVXY). Using monthly closes of VIX since January 1990, monthly split-adjusted closes for  for VIXY since… Keep Reading