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Weekly Summary of Research Findings: 8/24/20 – 8/28/20

| | Posted in: Miscellaneous

Below is a weekly summary of our research findings for 8/24/20 through 8/28/20. 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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  • SACEVS Input Risk Premiums and EFFR
    Evidence suggests that a rising (falling) EFFR tends to push the term, credit and equity risk premiums down (up), thereby influencing associated SACEVS allocations.
  • SACEVS Best Value + SACEMS EW Top 2?
    Available evidence offers some support for preferring SACEVS Best Value plus SACEMS EW Top 2 over SACEVS Best Value plus SACEMS EW Top 3.
  • Asset Class ETF Interactions with the U.S. Dollar
    Evidence suggests that a strong (weak) U.S. dollar is contemporaneously bad (good) for most dollar-denominated asset classes, but not for U.S . government bonds. Dollar valuation changes are not convincingly predictive of asset class returns.
  • Best Stock Return Anomaly Double Sorts?
    Evidence indicates that double-sorting of U.S. stocks on certain anomalies may generate attractive gross performance, but: (1) the effect fades over time; and, (2) the best double-sorts tend to involve high trading frictions.
  • Options on Low-priced Stocks Overpriced?
    Evidence suggests that retail investor demand for low-priced options makes options on low-priced stocks relatively expensive.
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