Investing Research Articles

Below is a weekly summary of our research findings for 11/2/20 through 11/6/20. 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 non-professional analysts who publish on Seeking Alpha offer valuable stock-picking advice? In their August 2020 paper entitled “The Cross-Section of Non-Professional Analyst Skill”, Michael Farrell, Russell Jame and Tian Qiu measure skill among such analysts as the hypothetical abnormal return an investor would earn by following reports/recommendations that focus on one common stock over… Keep Reading

A subscriber requested testing of a dual simple moving average (SMA) crossover strategy that holds SPDR S&P 500 (SPY) when its 30-day SMA (SMA30d, using 30 trading days) is above its 9-month SMA (SMA9m) and otherwise holds cash with yield that of 3-month U.S. Treasury bills (T-bills). To investigate, we calculate SPY SMA30d and SMA9m… Keep Reading

Benford’s law states that the probability of the value of the first digit in many naturally occurring samples of numbers, including asset prices, varies inversely with digit magnitude. For example, the number 1 (9) appears as the leading digit about 30% (less than 5%) of the time. For asset prices, deviations from this law typically… Keep Reading

Below is a weekly summary of our research findings for 10/26/20 through 10/30/20. 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 there a way to restore confidence in a value premium? In their September 2020 paper entitled “Resurrecting the Value Premium”, David Blitz and Matthias Hanauer seek a reliable value premium via three adjustments to the conventional high-minus-low book-to-market ratio (HML) metric: Augment book-to-market ratio with three other value signals: earnings before interest, taxes, depreciation… Keep Reading

Below is a weekly summary of our research findings for 10/19/20 through 10/23/20. 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 there a better way to identify attractive and unattractive assets than simply ranking them? In the August 2020 version of their paper entitled “Decoding Systematic Relative Investing: A Pairs Approach”, Christian Goulding, Campbell Harvey and Alex Pickard examine a long-short strategy that periodically reforms a portfolio by evaluating all possible pairs within an asset… Keep Reading

Does equity factor portfolio reformation (rebalancing) schedule materially affect portfolio performance? In their February 2020 paper entitled “Rebalance Timing Luck: The (Dumb) Luck of Smart Beta”, Corey Hoffstein, Nathan Faber and Steven Braun measure rebalance timing luck (RTL) in returns for long-only portfolios of S&P 500 stocks selected based on: Value – trailing 12-month earnings… Keep Reading

Subscribers have asked whether substituting Market Vectors Gold Miners ETF (GDX) for SPDR Gold Shares (GLD) as a proxy for gold improves the performance of the Simple Asset Class ETF Momentum Strategy (SACEMS)? To check, we backtest the strategy twice using either GLD or GDX to represent gold, and then compare results. Using dividend-adjusted closing prices for SACEMS… Keep Reading