Investing Research Articles

What is the best way to conduct quantitative investment research? In his September 2021 presentation package entitled “Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential”, Marcos Lopez de Prado outlines the optimal way to tackle such research. Based on his experience, he concludes that:

Does variation in the number of reported cases of COVID-19 predict near-term asset returns? To investigate, we look for a test acknowledging that the available sample is short and very noisy. Specifically: To suppress noise, we use the 7-day moving average of U.S. COVID-19 cases. To avoid measurement overlap, we calculate weekly changes in this… Keep Reading

Below is a weekly summary of our research findings for 9/27/21 through 10/1/21. 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 intensity of public interest in a “bear market” useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for “bear market” and relate this series to monthly S&P 500 Index returns. For comparison with the “investor fear gauge,” we also relate search data to monthly CBOE option-implied… Keep Reading

A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise iShares 1-3 Year Treasury Bond (SHY). iShares MSCI ACWI (ACWI) to represent all-world equities if its past 2-month and 12-month returns… Keep Reading

Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR) exchange traded funds (ETF): Materials Select Sector SPDR (XLB) Energy Select… Keep Reading

“Margin Debt as a Stock Market Indicator” investigates whether NYSE margin debt predicts future stock market returns. Since updates to this variable are not available, we instead consider the following three aggregate monthly investment account metrics from the Financial Industry Regulatory Authority (FINRA) as alternative margin-related indicators of investor sentiment: Margin account debt (aggressive use… Keep Reading

Below is a weekly summary of our research findings for 9/20/21 through 9/24/21. 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 motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled “Be Skeptical of Asset Management Research”, Campbell Harvey argues that economic incentives undermine belief in findings of both academic and practitioner financial market researchers. Based on his 35 years as an academic, advisor to asset management… Keep Reading

Below is a weekly summary of our research findings for 9/13/21 through 9/17/21. 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.