Investing Research Articles

Are stock quality strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five ETFs, all currently available (from oldest to youngest): Invesco S&P 500 Quality ETF (SPHQ) – seeks to track performance of S&P 500 stocks with the highest quality scores based on firm return on equity, accruals ratio and financial leverage… Keep Reading

A subscriber observed and asked: “Many Bogleheads at Vanguard prefer a buy and hold portfolio of 50% SPY, 25% each BND and EFA [rebalanced annually]. How does this compare to your current strategy? And how does it compare to buy and hold QQQ?” To compare, we compute gross monthly returns for the following six strategies:… Keep Reading

Below is a weekly summary of our research findings for 7/22/24 through 7/26/24. 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.

A subscriber requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value, which chooses the asset proxy for the term, credit or equity premium that is most undervalued (if any), use only… Keep Reading

“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their own kind of momentum.” Does momentum therefore work for style-based exchange-traded funds (ETF)? To investigate, we apply… Keep Reading

Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024 paper entitled “Ponzi Funds”, Philippe van der Beck, Jean-Philippe Bouchaud and Dario Villamaina decompose ETF returns into price pressure (self-inflated)… Keep Reading

“Simple Sector ETF Momentum Strategy” investigates performances of simple momentum trading strategies for the following nine sector exchange-traded funds (ETF) executed with Standard & Poor’s Depository Receipts (SPDR): Materials Select Sector SPDR (XLB) Energy Select Sector SPDR (XLE) Financial Select Sector SPDR (XLF) Industrial Select Sector SPDR (XLI) Technology Select Sector SPDR (XLK) Consumer Staples… Keep Reading

A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a bubble candidate as a value-weighted U.S. industry or international sector that rises over 100% in both raw and net of… Keep Reading

Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. 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.

To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting, most imminently due to movement of stock prices, these experts expect high (low) future stock market returns when these ratios… Keep Reading