Investing Research Articles

Below is a weekly summary of our research findings for 5/26/20 through 5/29/20. 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.

A subscriber asked for an update on whether weekly or biweekly (every two weeks) measurement of asset class momentum works better than monthly measurement as used in “Simple Asset Class ETF Momentum Strategy (SACEMS)” (SACEMS). Do higher measurement frequencies respond more efficiently to market turns? To investigate, we compare performances of strategies based on monthly,… Keep Reading

Below is a weekly summary of our research findings for 5/17/20 through 5/22/20. 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.

“Chicago Fed ANFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior… Keep Reading

Referring to “Chicago Fed NFCI as U.S. Stock Market Predictor”, a subscriber asked whether the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may work better as a U.S. stock market predictor. ANFCI “isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to… Keep Reading

“Chicago Fed NFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior change in… Keep Reading

A subscriber suggested that the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful U.S. stock market predictor. NFCI “provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and ‘shadow’ banking systems.” It consists of 105 inputs, including the S&P 500 Implied… Keep Reading

Are there equity styles that tend to perform relatively well during and after stock market crashes? In their April 2020 paper entitled “Equity Styles and the Spanish Flu”, Guido Baltussen and Pim van Vliet examine equity style returns around the Spanish Flu pandemic of 1918-1919 and five earlier deep U.S. stock market corrections (-20% to… Keep Reading

Below is a weekly summary of our research findings for 5/11/20 through 5/15/20. 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.

How should investors think about combining strategies into a broader portfolio that reliably exploits their interactions over time? In the March 2020 version of his paper entitled “Preferred Portfolios: An Improved Blueprint to Construct Multi Strategy Portfolios”, Lars Kestner discusses how to combine individual strategies into a portfolio that performs robustly out-of-sample base on five… Keep Reading