Research Library
The Research Library: Strategies From Published Research
Every strategy here comes from published work you can check: a peer-reviewed paper, a major fund manager, public bank research or an index run by an exchange. For each one we show who published it, what they found and, just as importantly, where it went wrong.
How to read the evidence
- Published, not promised. A study shows what happened in the markets and years it tested. It can’t tell you what will happen next.
- Look for the catch. Every strategy here has had long bad spells. We show the worst alongside the best.
- Big-fund results don’t always transfer. Some studies assume low costs, leverage or large sums. Each lesson explains what changes for an ordinary investor.
All research strategies
- 01IntermediateLesson ready
Trend following (time-series momentum)
Published by Moskowitz, Ooi and Pedersen (2012), Journal of Financial Economics; Hurst, Ooi and Pedersen (2017)
What it found Markets that had risen over the past year tended to keep rising for a while, across 58 futures markets.
The catch Long flat spells, and sharp losses when trends reverse suddenly.
- 02Intermediate
Momentum: buying recent winners
Published by Jegadeesh and Titman (1993), Journal of Finance
What it found Shares with the best returns over the past 3 to 12 months kept beating the worst for several months afterwards.
The catch Sudden “momentum crashes” after market bottoms, and high trading costs.
Full lesson coming soon - 03Advanced
Value and momentum together
Published by Asness, Moskowitz and Pedersen (2013), “Value and Momentum Everywhere”, Journal of Finance
What it found Both effects appeared across eight different markets, and combining them smoothed the ride.
The catch Value went through a long, painful drought in the 2010s.
Full lesson coming soon - 04BeginnerLesson ready
Value investing: cheap versus expensive
Published by Fama and French (1992, 1993)
What it found Cheaper shares, measured by price relative to book value, earned more over the long run than expensive ones.
The catch It can lag the market for a decade or more.
- 05Intermediate
Quality: profitable, sound companies
Published by Novy-Marx (2013), Journal of Financial Economics; Asness, Frazzini and Pedersen, “Quality Minus Junk” (2019)
What it found More profitable, financially stronger companies earned more than weak ones, even at similar prices.
The catch Quality shares can become expensive, and definitions of “quality” vary.
Full lesson coming soon - 06Advanced
Low volatility (“betting against beta”)
Published by Frazzini and Pedersen (2014), Journal of Financial Economics
What it found Calmer, lower-risk shares delivered better risk-adjusted returns than standard theory predicts.
The catch The original version uses borrowing, and it lags in strong rallies.
Full lesson coming soon - 07Advanced
Carry: holding the higher-yielding asset
Published by Koijen, Moskowitz, Pedersen and Vrugt (2018), “Carry”, Journal of Financial Economics
What it found Holding the higher-yielding asset, such as a high-interest currency, earned a premium across many markets.
The catch Sudden crashes, like the unwinding of yen carry trades in 2008.
Full lesson coming soon - 08BeginnerLesson ready
A trend filter for your portfolio (10-month average)
Published by Faber (2007), Journal of Wealth Management
What it found Holding an asset only while it was above its 10-month average gave returns close to buy-and-hold, with much smaller falls.
The catch Whipsaws in choppy markets, and it trails in steady rallies.
- 09IntermediateLesson ready
Covered call writing
Published by Cboe S&P 500 BuyWrite Index (BXM); Whaley (2002), Journal of Derivatives
What it found An exchange-run index of the strategy, with decades of data: returns close to the market’s, with smaller swings in the study period.
The catch It caps your upside, so it lags in strong bull markets.
- 10Advanced
Put writing
Published by Cboe S&P 500 PutWrite Index (PUT)
What it found The exchange’s long-run index tracks the premium that option sellers collected over time.
The catch Large losses in crashes: you’re taking on a risk other people pay to avoid.
Full lesson coming soon - 11BeginnerLesson ready
The 60/40 portfolio and rebalancing
Published by Jaconetti, Kinniry and Zilbering, “Best Practices for Portfolio Rebalancing” (Vanguard research, 2010), using US data from 1926 to 2009
What it found Left alone, a 60/40 mix drifted to over 84% shares and swung much more. Checking once or twice a year and rebalancing at 5% drift kept risk near the chosen level at low cost.
The catch 2022 showed that shares and bonds can fall at the same time.
- 12Advanced
Risk parity (“All Weather”)
Published by Bridgewater Associates, “The All Weather Story”
What it found Balancing risk, rather than money, across assets aims to hold up in any economic environment.
The catch It usually needs borrowing to boost the bond side, and it was hit hard in 2022.
Full lesson coming soon - 13BeginnerLesson ready
Lump sum versus drip-feeding (pound-cost averaging)
Published by Vanguard research, “The truth about cost averaging” (2026), using data from 1976 to 2022
What it found Investing a lump sum straight away beat drip-feeding it in over three months about two-thirds of the time.
The catch When markets fell soon after, drip-feeding came out ahead, and it can make a big decision easier to live with.
- 14BeginnerLesson ready
Low-cost index investing
Published by Sharpe (1991), “The Arithmetic of Active Management”, Financial Analysts Journal; S&P Dow Jones Indices SPIVA scorecards
What it found Before costs, the average active investor must match the market, so after costs they must trail it. SPIVA finds most active funds lag their index over long periods.
The catch You get the whole market’s ups and downs, including every crash.
- 15Intermediate
The Turtle rules (channel breakouts)
Published by Rules from Richard Dennis’s 1980s Turtle traders, published by Curtis Faith in “Way of the Turtle” (2007)
What it found A fully rule-based breakout system that traders still test and adapt today.
The catch These are a trader’s published rules rather than peer-reviewed research, and they had long losing streaks.
Full lesson coming soon - 16BeginnerLesson ready
The behaviour gap: why investors earn less than their funds
Published by Morningstar, “Mind the Gap” (annual study; latest covers the 10 years to 31 December 2024)
What it found Investors earned about 1.2 percentage points a year less than the funds they owned, because of when they bought and sold.
The catch The gap was biggest in easy-to-trade ETFs. It’s US data, and its size changes from period to period.