Investing Research Articles

How can researchers assess the true value and robustness of new stock return anomalies (predictors) in consideration for addition to the factor zoo? In their January 2023 paper entitled “Assaying Anomalies”, Robert Novy-Marx and Mihail Velikov present a protocol/tool set for dissecting and understanding newly proposed cross-sectional stock return predictors. The tools address the most… Keep Reading

Below is a weekly summary of our research findings for 2/6/23 through 2/10/23. 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.

Is put-spread collar strategy performance sensitive to the portfolio rebalancing schedule (due to rebalance timing luck). In their January 2023 paper entitled “The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck”, Steven Braun, Corey Hoffstein, Roni Israelov and David Nze Ndong analyze the performance of the following quarterly put-spread collar strategy: (1) long passive… Keep Reading

Does aggregate insider stock buying and selling offer clues about future stock market returns? In their January 2023 paper entitled “Aggregate Insider Trading in the S&P 500 and the Predictability of International Equity Premia”, Andre Guettler, Patrick Hable, Patrick Launhardt and Felix Miebs investigate relationships between net aggregate insider trading and future stock market excess… Keep Reading

A subscriber suggested an update of “GMO’s Stunningly Accurate Forecast?” with out-of-sample testing of GMO forecasts. To investigate, we test GMO’s 7-Year asset class real return forecasts of December 31, 2010, July 31, 2013, June 30, 2014 and November 2015. We first match the 11 GMO asset classes covered in these forecasts to exchange-traded funds… Keep Reading

Can investors exploit information about business credit tightening/loosening as reported since 1990 in the Federal Reserve’s quarterly Senior Loan Officer Survey to time the U.S. stock market? In the January 2023 draft of his paper entitled “Profitable Timing of the Stock Market with the Senior Loan Officer Survey”, Linus Wilson examines the power of “Net… Keep Reading

A subscriber requested review of the Golden Butterfly (GB) portfolio, which assigns equal weights to the total stock market, small-capitalization value stocks, long-term government bonds, short-term government bonds and gold. To investigate, we use the following exchange-traded funds (ETF) as asset class proxies, respectively: Vanguard Total Stock Market Index Fund (VTI) iShares S&P Small-Cap 600… Keep Reading

Below is a weekly summary of our research findings for 1/30/23 through 2/3/23. 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.

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel… Keep Reading

Should investors presume that, in the absence of falsifiable theories, the body of factor investing research is largely spurious? In the January 2023 version of his paper entitled “Causal Factor Investing: Can Factor Investing Become Scientific?”, Marcos Lopez de Prado reviews the current state of confusion about causality in factor investing research and discusses ways… Keep Reading