Recent Investing Research

Below is a weekly summary of our research findings for 3/27/23 through 3/31/23. 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 April 2023. SACEMS rankings probably will not change by the close. SACEVS allocations probably will not change by the close.

A subscriber asked about backtesting two alternatives to equal weight (EW) for the Simple Asset Class ETF Momentum Strategy (SACEMS) Top 2 and Top 3 portfolios, as follows: Fixed Weighted: For Top 2, 66% allocation to the first-place exchange-traded fund (ETF) and 34% to the second-place ETF. For Top 3, 50% allocation to the first-place… Keep Reading

Do hedge funds rapidly move to exploit, and thereby weaken/extinguish, newly discovered stock return anomalies? In the December 2022 version of their paper entitled “Anomaly Discovery and Arbitrage Trading”, Xi Dong, Qi Liu, Lei Lu, Bo Sun and Hongjun Yan measure the post-publication role of hedge funds on 99 published stock return anomalies (or latest… Keep Reading

Do investors reliably react over short and intermediate terms to changes in the U.S. Consumer Price Index (CPI), a logical measure of the wealth discount rate? Using monthly total and core (excluding food and energy) CPI releases (for all items, not seasonally adjusted) from the Bureau of Labor Statistics (BLS) and contemporaneous S&P 500 Index opens… Keep Reading

Are their practical ways to suppress the sometimes large reduction in academic (gross) equity factor premiums due to trading frictions and other implementation obstacles? In their March 2023 paper entitled “Smart Rebalancing”, Robert Arnott, Feifei Li and Juhani Linnainmaa first examine the performance and related turnover of seven long-only factor premiums: annually reformed (end of… Keep Reading

Can investors use leveraged exchange-traded funds (ETF) to construct attractive versions of simple 60%/40% (60/40) and 40%/60% (40/60) stocks-bonds portfolios? In their March 2020 presentation package entitled “Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance”, flagged by a subscriber, Mikhail Smirnov and Alexander Smirnov consider several variations of classic stocks/bonds portfolios implemented… Keep Reading

Below is a weekly summary of our research findings for 3/20/23 through 3/24/23. 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.

Does the difference in individual stock/market return relationships between good times (relatively low correlations) and bad times (relatively high correlations) present an easy and efficient way to hedge against stock market crashes (tail risk)? In their March 2023 paper entitled “Tail Risk Hedging: The Search for Cheap Options”, Poh Ling Neo and Chyng Wen Tee… Keep Reading

A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares Ultra S&P500 (SSO) for SPDR S&P 500 ETF Trust (SPY) in these strategies whenever: SPY is above its 200-day simple… Keep Reading