Investing Research Articles

Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI releases (for all items, not seasonally adjusted) from the Bureau of Labor Statistics (BLS) and contemporaneous S&P 500 Index opens… Keep Reading

Are their practical ways to suppress the sometimes large reduction in academic (gross) equity factor premiums due to trading frictions and other implementation obstacles? In their March 2023 paper entitled “Smart Rebalancing”, Robert Arnott, Feifei Li and Juhani Linnainmaa first examine the performance and related turnover of seven long-only factor premiums: annually reformed (end of… Keep Reading

Below is a weekly summary of our research findings for 3/20/23 through 3/24/23. 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.

Does the difference in individual stock/market return relationships between good times (relatively low correlations) and bad times (relatively high correlations) present an easy and efficient way to hedge against stock market crashes (tail risk)? In their March 2023 paper entitled “Tail Risk Hedging: The Search for Cheap Options”, Poh Ling Neo and Chyng Wen Tee… Keep Reading

A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares Ultra S&P500 (SSO) for SPDR S&P 500 ETF Trust (SPY) in these strategies whenever: SPY is above its 200-day simple… Keep Reading

A subscriber proposed using Minervini Trend Template criteria to time broad U.S. stock market proxies such as SPDR S&P 500 ETF Trust (SPY). Specifically, use leveraged versions of SPY when SPY meets the following seven criteria: SPY is above both its 150-day and 200-day simple moving averages (SMA150 and SMA200). SMA150 is above SMA200. SMA200… Keep Reading

Do good firm environmental, social and governance (ESG) ratings signal attractive stock returns? If so, what is the best way to exploit the signals? In their February 2023 paper entitled “Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics”, Florian Berg, Andrew Lo, Roberto Rigobon, Manish Singh and Ruixun Zhang test… Keep Reading

Below is a weekly summary of our research findings for 3/13/23 through 3/17/23. 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.

Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper entitled “The Dynamics of Defined Outcome Exchange Traded Funds”, Luis García-Feijóo and Brian Silverstein analyze average performance of the Innovator… Keep Reading

Can machine learning perfect equity sector rotation? In the January 2023 version of their paper entitled “Deep Sector Rotation Swing Trading”, flagged by a subscriber, Joel Bock and Akhilesh Maewal present a sector rotation strategy guided by multiple-input, multiple output deep learning model. The strategy chooses weekly from among 11 U.S. sectors using exchange-traded fund… Keep Reading