October 8, 2024 - Equity Premium, Technical Trading
Short-term reversal is a widely accepted stock return anomaly, with the long-only version glibly termed “buy the dip.” Is short-term reversal readily exploitable? As a live test, we look at the performance of Vesper U.S. Large Cap Short-Term Reversal Strategy ETF (UTRN). This fund seeks to capture bounces of stocks with recent sharp declines by… Keep Reading
October 7, 2024 - Big Ideas, Equity Premium
Why have stock return anomalies generally degraded over recent decades? In their August 2024 paper entitled “What Drives Anomaly Decay?”, Jonathan Brogaard, Huong Nguyen, Tālis Putniņš and Yuchen Zhang examine why stock return anomalies decay by: Decomposing returns into market-wide, public firm-specific and private firm-specific elements. Separating cash flow and discount rate effects within each… Keep Reading
October 4, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 9/30/24 through 10/4/24. 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.
October 4, 2024 - Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate
How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell… Keep Reading
October 3, 2024 - Economic Indicators, Equity Premium
Do changes in the Effective Federal Funds Rate (EFFR), the actual cost of short-term liquidity derived from a combination of market demand and Federal Reserve open market operations designed to maintain the Federal Funds Rate (FFR) target, predictably influence the U.S. stock market over horizons up to a few months? To investigate, we relate smoothed (volume-weighted median)… Keep Reading
October 2, 2024 - Equity Premium
Can machine learning exploit interactions between many equity factors and many potential factor return predictors to create an attractive factor timing strategy? In their August 2024 paper entitled “Optimal Factor Timing in a High-Dimensional Setting”, Robert Lehnherr, Manan Mehta and Stefan Nagel apply machine learning with mean-variance optimization to time equity factors when the numbers… Keep Reading
October 1, 2024 - Real Estate, Strategic Allocation
…data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.
September 30, 2024 - Calendar Effects, Momentum Investing, Strategic Allocation
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 September 2024.
September 30, 2024 - Momentum Investing, Strategic Allocation
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for October 2024. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.
September 30, 2024 - Commodity Futures, Currency Trading
Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies… Keep Reading
September 27, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 9/23/24 through 9/27/24. 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.