Investing Research Articles

…investors may be able to use simple trend-following rules to enhance returns from a strategy designed to capture a combination of the equity risk premium from stocks and the volatility risk premium from short options.

…investors may be able to exploit the predictability of equity return volatility via a dynamic leverage strategy that increases (decreases) leverage when predicted volatility is low (high).

…without more convincing validation of the performance/trade data offered, curious investors may want to track live trading signals at Long-Short-Timing.com for themselves over a reasonably long period to assess their economic value.

…evidence suggests that investors employing hedge momentum strategies may want to adjust the level of hedging (long past winners versus short past losers) according to portfolio risk level.

…simple U.S. stock market valuation metrics currently indicate (perhaps extreme) undervaluation, but these indications involve considerable uncertainty.

…claiming options on ETFs as Section 1256 contracts appears risky pending a specific IRS ruling. Those considering doing so should consult their tax advisors…

A reader requested comments on the paper “Why Do Closed-End Bond Funds Exist?” by Edwin Elton, Martin Gruber, Christopher Blake and Or Shachar. This study investigates the unique aspects of closed-end bond funds using characteristics and performance data mostly from 1996-2006 for two samples: (1) 54 pairs of closed-end and open-end bond funds matched for… Keep Reading

Should investors go with or against asset pricing bubbles? Or, should they step aside and await a “Return to Normalcy?” In their December 2009 paper entitled “Riding Bubbles”, Nadja Guenster, Erik Kole and Ben Jacobsen investigate empirically the best approach for investors to take regarding active asset bubbles. They detect bubbles within rolling historical 10-year… Keep Reading

…results from simple tests do not support a belief that an investor can readily filter good and bad daily stock market returns based on the level of realized volatility.

…large investors may be able to exploit short-term reversals in individual stock returns by focusing on large capitalization stocks and rebalancing based on return analysis rather than fixed interval.