Do economic data releases trigger predictably large returns in short-term equity index options? In their February 2024 paper entitled “Expected 1DTE Option Returns”, Michael Johannes, Andreas Kaeck, Norman Seeger and Neel Shah analyze returns to...
Technological disruption (as experienced with widespread electrification and the rise of the world-wide web, and imagined for artificial intelligence) is a recurring feature of human history. Such disruptions presents risks and opportunities for investors. How...
Below is a weekly summary of our research findings for 3/25/24 through 3/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked for assessment of a strategy that holds 70% SPDR S&P 500 ETF Trust (SPY) and 30% SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) (SPY-BIL 70-30), rebalanced every eight weeks, with explicit comparison...
Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday...
Below is a weekly summary of our research findings for 3/18/24 through 3/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Using the Money Anxiety Index for ETF Selection” examines whether the proprietary Money Anxiety Index (MAI) can select long and short portfolios of ETFs that beat the S&P 500 Index (ignoring dividends). Test outputs are...
Does anxiety about having enough money play an important role in asset selection decisions, and thereby asset returns? In his March 2024 paper entitled “Money Anxiety Theory – a Predictor of Equity’s Performance”, Dan Geller...
How different are stock market performance metrics for: Capital gains only, capital gains plus dividends accrued as cash (spent or saved), and capital gains plus dividends reinvested in the stock market? Nominal versus real returns?...
What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki...
Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate,...
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate...
Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF...
Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a...
Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The inflation rate is a fundamental determinant of the discount rate used to calculate the present value of an asset. Changes in inflation therefore affect asset valuations. Do experts, as polled in the quarterly Survey...
Is an investment strategy that follows trends in economic fundamentals (rather than asset prices) an attractive alternative to conventional momentum? In their January 2024 paper entitled “Economic Trend”, Jordan Brooks, Noah Feilbogen, Yao Hua Ooi...
Throughout each month, the National Federation of Independent Businesses surveys members on ten components of business conditions they anticipate six months hence. They issue findings on the second Tuesday of the following month in “Small Business...
Does iShares 20+ Year Treasury Bond ETF (TLT) exhibit a predictable monthly pattern due to beginning-of-month dividends and mid-month U.S. government consumer and producer inflation releases? To investigate, we calculate average cumulative return for TLT...
Below is a weekly summary of our research findings for 2/26/24 through 3/1/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is ChatGPT useful for predicting stock market returns based on financial news headlines? In the December 2023 version of their paper entitled “ChatGPT, Stock Market Predictability and Links to the Macroeconomy”, Jian Chen, Guohao Tang,...
Can enhanced machine learning models accurately time popular equity factors? In their January 2024 paper entitled “Multi-Factor Timing with Deep Learning”, Paul Cotturo, Fred Liu and Robert Proner explore equity factor timing via a multi-task...
Below is a weekly summary of our research findings for 2/20/24 through 2/23/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do published commodity futures factors exhibit exploitable momentum? In their December 2023 paper entitled “Factor Momentum in Commodity Futures Markets”, Yiyan Qian, Xiaoquan Liu and Ying Jiang examine factor momentum in fully collateralized nearest-rolled contracts...