Investing Research Articles

Below is a weekly summary of our research findings for 11/25/24 through 11/29/24. 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.

A subscriber requested review of “Accelerating Dual Momentum [ADM] Investing”, which allocates all funds to U.S. stocks, international (ex-U.S.) small-capitalization stocks or long-term U.S. Treasury bonds, as follows: Each month, calculate for each of the two equity assets the sum of its 1-month, 3-month and 6-month past returns. If both sums are negative, buy U.S…. Keep Reading

Success of dynamic asset class allocations assumes that expected asset class returns, return riskiness and investor risk aversion change at least somewhat predictably over time. Are individual investors truly better off with dynamic (rather than static) allocations? In their October 2024 paper entitled “Victor Meets the Bogleheads: Comparing Static versus Dynamic Asset Allocation”, Victor Haghani… Keep Reading

Below is a weekly summary of our research findings for 11/18/24 through 11/22/24. 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.

Since 1990, the Federal Reserve Bank of Philadelphia has conducted a quarterly Survey of Professional Forecasters. The American Statistical Association and the National Bureau of Economic Research conducted the survey from 1968-1989. Among other things, the survey solicits from experts probabilities of U.S. economic recession (negative GDP growth) during each of the next four quarters…. Keep Reading

Can investors safely use leverage to squeeze incremental return from low-volatility/factor-tilted stocks, thereby avoiding underperformance of these stocks during bull markets? In their October 2024 paper entitled “Low-Risk Alpha Without Low Beta”, David Blitz, Clint Howard, Danny Huang and Maarten Jansen exploit the low-volatility anomaly by leveraging multifactor, low-risk, global stock portfolios to a beta… Keep Reading

What topics are hot and cold in finance research? In their October 2024 paper entitled “Tracing the Evolution of Finance Research: A Topic Modeling Analysis of AJG-Ranked Journals”, Yang Su, Brian Lucey and Ashish Jha provide an overview of academic finance research trends since 2000. They identify the hottest and coldest topics based on publication… Keep Reading

Below is a weekly summary of our research findings for 11/11/24 through 11/15/24. 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.

How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging Markets Index… Keep Reading

Does degree of co-movement among commodity exchange-traded funds (ETF) predict whether momentum or reversal is imminent? In their September 2024 paper entitled “How to Improve Commodity Momentum Using Intra-Market Correlation”, Radovan Vojtko and Margaréta Pauchlyová investigate whether the relationship between short-term and long-term average pairwise return correlations indicates when to pursue momentum and when to… Keep Reading