Investing Research Articles

Multifactor funds offer rules-based, diversified exposures to firm/stock factors found to beat the market in academic studies. Do the funds beat the market in real life? In his June 2022 paper entitled “Multifactor Funds: An Early (Bearish) Assessment”, Javier Estrada assesses performance of such funds across U.S., global and emerging markets relative to that of… Keep Reading

Below is a weekly summary of our research findings for 7/5/22 through 7/8/22. 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.

Do the choices researchers make when constructing factor portfolios to explain stock returns materially affect their findings? In their June 2022 paper entitled “Mind Your Sorts”, Amar Soebhag, Bart van Vliet and Patrick Verwijmeren examine the extent to which such construction choices affect factor performance. They consider 11 distinct long-short factors as used in widely… Keep Reading

A subscriber asked whether the Turn-of-the-Month (TOTM) effect applies to currencies. To investigate, as in the past, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total of eight trading days, centered on the monthly close)…. Keep Reading

A subscriber asked about the relationship between the high-yield bond spread and stock market return, with focus on when the latter is entering a bear market. To investigate, we use the ICE BofA US High Yield Index Option-Adjusted Spread (HY Spread) as a proxy for the high-yield bond spread and SPDR S&P 500 ETF Trust… Keep Reading

Below is a weekly summary of our research findings for 6/27/22 through 7/1/22. 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.

What determines whether a stock will exhibit short-term momentum or short-term reversal? In their May 2022 paper entitled “Short-term Relative-Strength Strategies, Turnover, and the Connection between Winner Returns and the 52-week High”, building upon prior research, Chen Chen, Chris Stivers and Licheng Sun investigate interactions among proximity to 52-week high, share turnover and 1-month return… Keep Reading

The 10-month simple moving average (SMA10) is a widely studied trend-following technical indicator for the U.S. stock market. How much value does it add? To investigate, we compare: SMA10 – A strategy that is each month in SPDR S&P 500 ETF Trust (SPY) when the S&P 500 Index is above its SMA10 at the end… Keep Reading

Below is a weekly summary of our research findings for 6/21/22 through 6/24/22. 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.

Are there conflicts inherent in an investment strategy seeking to impose social preferences on a value style? In their May 2022 paper entitled “No Good Deed Goes Unpunished? Social vs. Investment”, Tzee-man Chow and Feifei Li investigate how a carbon reduction requirement affects construction and performance of a global developed market value stock strategy. They… Keep Reading