Investing Research Articles

Should investors dismiss short-term signals as unexploitable due to high trading frictions? In their May 2022 paper entitled “Beyond Fama-French Factors: Alpha from Short-Term Signals”, David Blitz, Matthias Hanauer, Iman Honarvar, Rob Huisman and Pim van Vliet investigate whether investors can extract a material net alpha by applying efficient trading rules to a composite of… Keep Reading

Below is a weekly summary of our research findings for 6/6/22 through 6/10/22. 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.

A subscriber asked whether the U.S. dollar is a safe haven from the U.S. stock market. One way to address the question is to repeat the tests used in “Best Safe Haven ETF?” on Invesco DB US Dollar Index Bullish Fund (UUP). Specifically, we look at: Contemporaneous UUP return correlation with the S&P 500 Index… Keep Reading

Is the government debt-to-Gross Domestic Product (GDP) ratio a useful predictor of stock and bond market returns? In his May 2021 paper entitled “Government Debt and Risk Premia”, Yang Liu examines relationships between future stock and bond market excess returns (relative to short term government bills) and government debt-to-GDP ratio. He measures government debt as… Keep Reading

In response to Very Simple Asset Class ETF Momentum Strategy (VSACEMS), a subscriber requested evaluation of an alternative VSACEMS that considers only the following three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) Invesco DB Commodity Index Tracking (DBC) To evaluate, we test a strategy that each month picks… Keep Reading

Below is a weekly summary of our research findings for 5/31/22 through 6/3/22. 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.

A subscriber suggested review of a Follow the Leader (FTL) strategy that, in simplest form, each month holds iShares MSCI Emerging Markets ETF (EEM) when prior-month SPDR S&P 500 ETF Trust (SPY) return is positive and iShares 20+ Year Treasury Bond ETF (TLT) when prior-month SPY return is negative. To investigate, we run this simplest… Keep Reading

What happens after the stock market has a streak of up or down weeks? To check, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and calculate average weekly returns and variabilities of these returns after streaks of positive or negative weekly returns. We do not include streaks within… Keep Reading

Can investors beat the market by exploiting preannounced (anti-value) changes to traditional capitalization-weighted indexes, generally comprised of additions with recent strong performance and deletions with recent weak performance? In their May 2022 paper entitled “The Avoidable Costs of Index Rebalancing”, Robert Arnott, Chris Brightman, Vitali Kalesnik and Lillian Wu examine ways to exploit any momentum… Keep Reading

Below is a weekly summary of our research findings for 5/23/22 through 5/27/22. 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.