Investing Research Articles

Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and future returns at both stock index and individual stock levels. They compare generally accepted accounting principles (GAAP) earnings and an… Keep Reading

“SACEVS and SACEMS Strategy Momentum?” finds support for belief that a strategy exploiting the relative performance of Simple Asset Class ETF Value Strategy (SACEVS) Best Value and Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 boosts performance, with focus on a 60%-40% tilt toward the strategy with the stronger past returns. It… Keep Reading

Is systematically selling covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity put-write ETFs, two dead and two living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree PutWrite Strategy Fund (PUTW) – index-oriented (living)…. Keep Reading

Do alternative “Cash” (deemed risk-free) instruments materially affect performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? Changing the proxy for Cash can affect how often the model selects Cash, as well as the return on Cash when selected. To investigate, we test separately each of the following yield and exchange-traded funds (ETF) as the… Keep Reading

Below is a weekly summary of our research findings for 8/12/24 through 8/16/24. 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.

Can investors manage cryptocurrency volatility risk with simple trend following rules? In their August 2024 paper entitled “Trend-following Strategies for Crypto Investors”, Trinh Hue Le and Ummul Ruthbah test simple trend following rules on Bitcoin (BTC), Ether (ETH) and the S&P Cryptocurrency LargeCap-Ex. MegaCap Index. Specifically, they hold the cryptocurrency (cash) when its price is… Keep Reading

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading

Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly: 50-50 Best Value – EW Top 2: SACEVS Best Value paired with SACEMS Equally… Keep Reading

Do S&P 500 earnings growth rates predict S&P 500 Index (SP500) returns? To investigate, we relate actual 12-month SP500 operating earnings growth rate and as-reported earnings growth rate measured quarterly to SP500 quarterly return. We use 12-month earnings growth rates to avoid confounding calendar effects. Actual earnings releases for a quarter occur throughout the next… Keep Reading

Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and Nowcasts”, Steven Sharpe and Antonio Gil de Rubio Cruz examine the quality of bottom-up forecasts of near-term S&P 500 earnings… Keep Reading