Investing Research Articles

In response to “Combining Defensive-in-May and Sector Reversion”, a subscriber requested testing of a strategy combining seasonal effects (cyclical sectors during November through April and defensive sectors during May through October) and sector momentum. Cyclical and defensive choices are: Cyclical: Materials Select Sector SPDR (XLB) Industrial Select Sector SPDR (XLI) Technology Select Sector SPDR (XLK)… Keep Reading

Below is a weekly summary of our research findings for 12/27/21 through 12/31/21. 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 hypothesized that a very large delta between daily iShares 20+ Year Treasury Bond (TLT) and SPDR S&P 500 (SPY) returns presages a stock market collapse, and asked for verification. To investigate, we consider two tests: Calculate correlations between daily TLT-SPY return delta and daily SPY returns over the next month (21 trading days)…. Keep Reading

Do monthly business inventories data, released with a lag of about 1.5 months, reliably predict U.S. stock market behavior? To investigate, we relate monthly change in business inventories to monthly S&P 500 Index return. Using survey-based monthly seasonally adjusted business inventories and the S&P 500 Index during January 1992 (limited by business inventories data) through… Keep Reading

Below is a weekly summary of our research findings for 12/20/21 through 12/23/21. 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.

Inspired by “The iM Seasonal ETF Switching Strategy”, a subscriber requested testing of a strategy combining seasonal effects (cyclical sectors during November through April and defensive sectors during May through October) and sector reversion. Cyclical and defensive choices are: Cyclical: Materials Select Sector SPDR (XLB) Industrial Select Sector SPDR (XLI) Technology Select Sector SPDR (XLK)… Keep Reading

A subscriber asked about a strategy that holds a portfolio of cyclical sectors and small capitalization stocks during November through April and a portfolio of defensive sectors during May through October, as follows: Cyclical: Materials Select Sector SPDR (XLB) Industrial Select Sector SPDR (XLI) Consumer Discretionary Select SPDR (XLY) Vanguard Small Capitalization Index Fund (NAESX)… Keep Reading

How meaningful is the term Environmental, Social, and Corporate Governance (ESG) as a descriptor of firm valuation and investment performance? In his November 2021 paper entitled “ESG: Hyperboles and Reality”, George Serafeim assesses beliefs about ESG, including those involving firm valuation and ESG firm/fund investment performance. Drawing on more than a decade of research, he… Keep Reading

Below is a weekly summary of our research findings for 12/13/21 through 12/17/21. 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 about a strategy that rotates among equity sectors according to changes in interests rate as set by Federal Reserve Bank monetary policy. To investigate, we consider the following nine sector Standard & Poor’s Depository Receipts (SPDR) exchange-traded funds (ETF): Materials Select Sector SPDR (XLB) Energy Select Sector SPDR (XLE) Financial Select Sector… Keep Reading