Which equity factors from among those included in the most widely accepted factor models are really important? In their October 2019 paper entitled “Winners from Winners: A Tale of Risk Factors”, Siddhartha Chib, Lingxiao Zhao, Dashan Huang and Guofu Zhou examine what set of equity factors from among the 12 used in four models with Keep Reading

Can investors exploit information about hedge fund stock holdings in SEC Form 13F filings? In their October 2019 paper entitled “Systematic 13F Hedge Fund Alpha”, Mobeen Iqbal, Farouk Jivraj and Luca Angelini investigate whether carefully culled “best ideas” of equity hedge funds produce significantly beat the S&P 500 Total Return (TR) Index. Using quarterly Form Keep Reading

When a retirement portfolio veers from its planned path, is it better to count on reversion-to-path or adjust the plan? In his March 2019 paper entitled “Managing to Target: Dynamic Adjustments for Accumulation Strategies”, Javier Estrada employs a simple retirement portfolio model to compare outcomes for sticking to the plan (S2P) with 13 dynamic strategies Keep Reading

Who beats the stock market and why? In his October 2019 paper entitled “The Five Investor Camps That Try to Beat the Stock Market”, William Ziemba discusses how different categories of investors succeed. For investors pursuing active strategies, he addresses broadly the means of getting an edge and betting well. Based on his academic work Keep Reading

A subscriber requested verification of a fundamental U.S. stock market timing strategy with rebalancing/reallocation of a stocks-bonds portfolio based on Shiller cyclically adjusted price-to-earnings ratio (P/E10 or CAPE) thresholds, as follows: If P/E10 > 22, hold 40% stocks and 60% bonds. If 14 < P/E10 < 22, hold 60% stocks and 40% bonds. If P/E10 Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for November 2019.

Below is a weekly summary of our research findings for 11/25/19 through 11/29/19. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2019. For SACEMS, the top four positions are in close competition, so the top three may change by the early close. For SACEVS, allocations are unlikely to change.

The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending components. BEA releases advance, preliminary and final data about one, two and three months after quarter ends, respectively. Do these estimates of economic Keep Reading

Are Morningstar mutual fund profiles accurate? In their October 2019 paper entitled “Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds”, Huaizhi Chen, Lauren Cohen and Umit Gurun examine whether aggregate credit risks of actual of U.S. fixed income (corporate bond) mutual fund portfolios match those presented by Morningstar in respective fund Keep Reading