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Weekly Summary of Research Findings: 4/29/19 – 5/3/19

| | Posted in: Miscellaneous

Below is a weekly summary of our research findings for 4/29/19 through 5/3/19. 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.

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  • Ubiquitous Equity Factor Momentum?
    Evidence indicates that diversified equity factor momentum, whether intrinsic or relative, generates attractive gross performance over the past half century.
  • Turn-of-the-Month Effect Persistence and Robustness
    Evidence from simple tests indicates that the turn-of-the-month effect for broad U.S. equity indexes exhibits robustness across years, calendar months, market conditions and types of stocks. The effect may be weakening slowly over time and, based on raw returns, unattractive during the summer months.
  • Long-term SMA and TOTM Combination Strategy
    Evidence from simple tests suggests that investors who bear very low trading frictions may (ignoring tax implications) be able to exploit the combination of trend following via a long-term simple moving average and the turn-of-the-month effect.
  • Deep Fundamental Analysis and Future Stock Returns
    Evidence suggests that deep analysis of company fundamentals can discover stocks that will substantially underperform the market over the next year.
  • Vanguard vs. Fidelity Funds
    Evidence indicates that Vanguard wins after-tax return (materially), tax efficiency, turnover and diversification. Fidelity wins before-tax return (slightly), expense ratio and tracking precision.
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