Investing Research Articles

Is portfolio downside risk better manageable by combining drawdown and recovery into a single “submergence” metric? In their February 2023 paper entitled “Submergence = Drawdown Plus Recovery”, Dane Rook, Dan Golosovker and Ashby Monk present submergence density as a new risk metric to help investors analyze asset/portfolio drawdown and recovery jointly. They define submergence (s)… Keep Reading

Can investors achieve attractive asset class momentum strategy performance by applying mixed-lookback interval momentum to different risk-on (offensive) and risk-off (defensive) sets of exchange-traded funds (ETF), and to a separate risk mode identification ETF? In their February 2023 paper entitled “Dual and Canary Momentum with Rising Yields/Inflation: Hybrid Asset Allocation (HAA)”, Wouter Keller and Jan… Keep Reading

Below is a weekly summary of our research findings for 2/13/23 through 2/17/23. 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.

Are there different patterns of short-term stock return reversal based on stock liquidity (measured by size, volatility or turnover)? In their January 2023 paper entitled “Reversals and the Returns to Liquidity Provision”, Wei Dai, Mamdouh Medhat, Robert Novy-Marx and Savina Rizova examine interactions between short-term reversal returns and stock liquidity metrics. They select reversal candidates… Keep Reading

What is the best short-term reversal indicator for equity exchange-traded funds (ETF)? In his January 2023 paper entitled “A Comparison of Short-Term Mean-Reversion Indicators for Global Equities”, Raymond Micaletti tests several short-term mean reversion indicators on equity ETFs. Specifically, he tests 306 trade setups, encompassing: Four broad U.S. equity ETFs, 10 U.S. equity sector ETFs… Keep Reading

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