April 16, 2021 - Miscellaneous
Below is a weekly summary of our research findings for 4/12/21 through 4/16/21. 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.
April 16, 2021 - Momentum Investing
Do published stock factors exhibit performance streaks exploitable via intrinsic (absolute, or time series) and relative (cross-sectional) momentum? In the March 2021 revision of their paper entitled “Factor Momentum and the Momentum Factor”, Sina Ehsani and Juhani Linnainmaa investigate stock factor portfolio monthly time series and cross-sectional momentum. They consider 15 factors for U.S. stocks… Keep Reading
April 15, 2021 - Equity Options
What is the latest evidence on attractiveness of selling covered calls or buying protective puts on the U.S. stock market? In his February 2021 paper entitled “Revisiting Covered Calls and Protective Puts: A Tale of Two Strategies”, Bryan Foltice examines raw and risk-adjusted returns from systematically selling covered calls and buying protective puts on SPDR… Keep Reading
April 14, 2021 - Size Effect
Do popular capitalization-based exchange-traded funds (ETF) offer a reliable way to exploit an equity size effect? To investigate, we look at the difference in returns (small minus big) between: iShares Russell 2000 Index (Smallcap) Index (IWM), and SPDR S&P 500 (SPY) Using monthly dividend-adjusted closing prices for these ETFs during May 2000 (limited by IWM)… Keep Reading
April 13, 2021 - Economic Indicators
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for March 2021. The actual total (core) inflation rate is quite a bit higher than (higher than) forecasted.
April 13, 2021 - Economic Indicators
What asset classes offer the best performance during episodes of high and rising inflation? In their March 2021 paper entitled “The Best Strategies for Inflationary Times”, Henry Neville, Teun Draaisma, Ben Funnell, Campbell Harvey and Otto Van Hemert analyze performances of passive and active strategies across various asset classes during inflationary episodes in the U.S.,… Keep Reading
April 12, 2021 - Individual Investing, Strategic Allocation
How should financial advisers and investors approach retirement income planning? In their January 2021 paper entitled “A Model Approach to Selecting a Personalized Retirement Income Strategy”, Alejandro Murguia and Wade Pfau design and validate a questionnaire designed to quantify retirement income styles based on six preference scales: Probability-based vs. Safety First (main) – depending on… Keep Reading
April 9, 2021 - Miscellaneous
Below is a weekly summary of our research findings for 4/5/21 through 4/9/21. 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.
April 9, 2021 - Strategic Allocation
A subscriber requested an assessment of U.S. federal capital gains tax impacts on the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and combinations of the two for investors with taxable accounts. Modeling such impacts is difficult due to complexity of the tax code and its highly idiosyncratic effects across… Keep Reading
April 8, 2021 - Investing Expertise
Are stock due diligence reports posted on Reddit’s Wallstreetbets (WSB) informative? If so, do users exploit them skillfully? In their March 2021 paper entitled “Place Your Bets? The Market Consequences of Investment Advice on Reddit’s Wallstreetbets”, Daniel Bradley, Jan Hanousek Jr., Russell Jame and Zicheng Xiao examine the value and retail trading impact of single-stock due… Keep Reading