Investing Research Articles

Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to CBOE VIX Index itself a useful indicator of future stock market returns? To investigate, we relate monthly VVIX/VIX and monthly change in VVIX/VIX to monthly SPDR S&P 500 (SPY) total returns. Using… Keep Reading

Below is a weekly summary of our research findings for 8/23/21 through 8/27/21. 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.

Do credit portfolio managers adjust their portfolios more expeditiously than equity managers, thereby offering a means to time the equity market? In his August 2021 paper entitled “Credit-Informed Tactical Asset Allocation – 10 Years On”, David Klein updates and enhances the strategy presented in his paper of June 2011 (see “Credit as a Tactical Asset… Keep Reading

A subscriber asked about a stock market timing strategy that combines the market 10-month simple moving average (SMA10) and the Sahm Recession Indicator (Sahm), which signals the start of a recession when the 3-month SMA of the U.S. unemployment rate is at least 0.5% higher than its low during the last 12 months. Specifically, the… Keep Reading

Leading index providers have introduced thematic stock indexes to address transformative macroeconomic, geopolitical or technological trends (for example, cybersecurity, robotics, autonomous vehicles and clean power). How do these indexes relate to standard asset pricing models? In his August 2021 paper entitled “Betting Against Quant: Examining the Factor Exposures of Thematic Indices”, David Blitz examines the… Keep Reading

A subscriber requested review of a swing trade strategy that buys and sells Invesco QQQ Trust (QQQ) according to the following rules: Buy at the close when it is either Monday or Tuesday and QQQ (Close-Low)/(High-Low) is 0.15 or less. Subsequently sell at the close when it is higher than the prior-day high. To investigate, to… Keep Reading

Below is a weekly summary of our research findings for 8/16/21 through 8/20/21. 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.

Is the WisdomTree approach to exchange-traded fund (ETF) cost efficiency and performance potential (Modern Alpha) attractive? To investigate, we compare performance statistics of six WisdomTree ETFs, all currently available, to those of “easy substitute” (widely used and very liquid) benchmark ETFs, as follows: WisdomTree U.S. Total Dividend Fund (DTD), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading

How well do derivatives traders perform, and why? In the July 2021 version of their paper entitled “Derivatives Leverage is a Double-Edged Sword”, Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang study the performance of Chinese derivatives (futures) traders across 1,086 contracts on 51 underlying assets. They consider gross and net daily trader returns,… Keep Reading

Below is a weekly summary of our research findings for 8/9/21 through 8/13/21. 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.