Practical analysis for investment professionals

stock market performance


How Sharp Is the Sharpe Ratio? An Analysis of Global Stock Indices

To test the Sharpe Ratio’s effectiveness, we constructed monthly return distributions for global stock market indices to see if any had too much skewness.

Chinese and World Stock Market Co-Movements: Two Findings

How have correlations between the Shanghai Composite Index and the Hang Seng and their global counterparts developed over the last 25 years?

Beware the Bubble? The US Stock Market Cap-to-GDP Ratio

The Buffett Indicator is flashing red and has been for a while now.

The Value Factor’s Pain: Are Intangibles to Blame?

Are intangibles responsible for the poor performance of the value factor?

Corporate Taxes Matter, But Not in the Way You Think

The common assumption is that lower tax rates should increase corporate profits, share prices, investment, and consumption, and thus lift the entire economy. Unfortunately, this is not quite how it happens in the real world.

Where Will the S&P 500 Be in a Year?

How high can US equity markets go? For a sense of the S&P 500's direction, we conducted an informal poll of readers of CFA Institute Financial NewsBrief for their perspective on where they see the index a year from now.

Effects of Elections: Predicting the Market’s Response to Clinton or Trump

Despite the euphoria in the Hillary Clinton and Donald Trump camps, there remains a great deal of uncertainty about the outcome of this election and what it will mean for the United States and the country's standing on the world stage. This uncertainty extends to the effect of US elections on stock prices, judging by the voluminous and often contradictory research on the topic.

Missing the Best Weeks: A Mistake Investors Should Fear

Investors should fear missing out on the best gains more than suffering the worst losses, says Michael Batnick, CFA. If you never attempt to avoid the worst weeks, you’ll never have to worry about missing the best weeks.

Mind the Gap: Wall Street Forecasts and YTD Returns

Despite Wall Street expectations that the S&P 500 would rise 8% in 2016, the index fell 7% in December and January. Five points of that decline came in January alone. But January’s slide was only just greater than one standard deviation move. As we’ll see, one month can handily destroy expectations going forward.



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