Investing Research Articles

Below is a weekly summary of our research findings for 6/19/23 through 6/23/23. 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.

In response to “Tech Premium Boost for Simplest Asset Class Momentum Strategy?”, a subscriber asked about testing the combination of Vanguard Growth Index Fund (VUG) and Vanguard Total Bond Market Index Fund (BND) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 (SPY) or iShares Barclays 20+ Year Treasury… Keep Reading

Below is a weekly summary of our research findings for 6/12/23 through 6/16/23. 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 evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) iShares iBoxx $ Investment Grade Corporate Bond (LQD) To evaluate, we test a strategy that each month picks the one… Keep Reading

Which alternative risk premiums (ARP) protect against stock and bond market crashes via return correlations/betas that remain low during such events? In their May 2023 paper entitled “Does Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era”, Antti Suhonen and Kari Vatanen employ recent data to re-examine ARP risk and diversification properties, focusing on… Keep Reading

The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending components. BEA releases advance, preliminary and final data about one, two and three months after quarter ends, respectively. Do these estimates of economic… Keep Reading

In his 2023 book, The Uncertainty Solution: How to Invest with Confidence in the Face of the Unknown, author John Jennings seeks “to provide individual investors with mental models that will help them make better investment decisions, practice better investment behavior, and be better consumers of investment advice… This book is not about how to… Keep Reading

Below is a weekly summary of our research findings for 6/5/23 through 6/9/23. 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.

What characteristics of U.S. equity factor return series are most relevant to respective factor performance? In his May 2023 paper entitled “The Cross-Section of Factor Returns” David Blitz explores long-term average returns and market alphas, 60-month market betas and factor performance cyclicality for U.S. equity factors. He also assesses potentials of three factor rotation strategies:… Keep Reading

Do the stocks that dominate shareholder wealth-building (accounting for share price changes, dividends, repurchases/new share issuances and investor money flows) increasing concentrate within a small pool? In his May 2023 paper entitled “Shareholder Wealth Enhancement”, Hendrik Bessembinder identifies the stocks with the largest increases and largest decreases in shareholder wealth since 1926. He examines the… Keep Reading