Investing Research Articles

Do stocks with high exposures to new technologies outperform? In her December 2022 paper entitled “New Technologies and Stock Returns”, Jinyoung Kim examines future returns of stocks with relatively high exposures to new technologies as measured via patent analysis. Each June, she applies machine learning to both textual and citation information to detect technology areas… Keep Reading

A subscriber requested confirmation that a strategy of holding SPDR S&P 500 ETF Trust (SPY) at all times except options expiration week beats holding SPY all the time. To investigate, we look at holding SPY at all times except from the close on the second Friday of each month to the close on the third… Keep Reading

What is the critical success factor for experienced traders? In their December 2022 paper entitled “Strategic Sophistication and Trading Profits: An Experiment with Professional Traders”, Marco Angrisani, Marco Cipriani and Antonio Guarino compare results from a competitive trading game, a competitive guessing game and individual cognitive/risk preference/personality tests to determine what characteristics most strongly relate… Keep Reading

Below is a weekly summary of our research findings for 1/3/23 through 1/6/23. 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.

How should investors think about, and perhaps exploit, asset return volatility? In his December 2022 paper entitled “A Stylized History of Volatility”, Emanuel Derman reviews how generations of financial modelers have quantified volatility and ultimately created tradable volatility-based assets. He also discusses some general modeling considerations. Based on the body of research and his experience,… Keep Reading

A subscriber asked about an assertion that bitcoin (BTC) price trend/return predicts return of the S&P 500 Index (SP500). To investigate, we relate BTC returns to SP500 returns at daily, weekly and monthly frequencies. We rationalize the different trading schedules for these two series by excluding BTC trading dates that are not also SP500 trading… Keep Reading

A subscriber asked about the performance of a strategy that each month allocates funds to pairs of exchange-traded fund (ETF) asset class proxies according to the term spread, as measured by the difference in yields between the 10-Year constant maturity U.S. Treasury note and the 3-Month U.S. Treasury bill (T-bill). Specifically: When the term spread is… Keep Reading

Do the widely used U.S. stock return factors exhibit long-term trend changes and shorter-term cyclic behaviors? In his November 2022 paper entitled “Trends and Cycles of Style Factors in the 20th and 21st Centuries”, Andrew Ang applies various methods to compare trends and cycles for equity value, size, quality, momentum and low volatility factors, with… Keep Reading

Below is a weekly summary of our research findings for 12/27/22 through 12/30/22. 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 stocks that are winners or losers over multiple lookback intervals generate stronger future returns because they attract wider audiences of momentum investors? In their June 2022 paper entitled “Overlapping Momentum Portfolios”, Iván Blanco, Miguel De Jesus and Alvaro Remesal explore this question by comparing performances of three portfolios: MOM (benchmark): long (short) the value-weighted… Keep Reading