Can investors achieve attractive asset class momentum strategy performance by applying mixed-lookback interval momentum to different risk-on (offensive) and risk-off (defensive) sets of exchange-traded funds (ETF), and to a separate risk mode identification ETF? In...
Below is a weekly summary of our research findings for 2/13/23 through 2/17/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there different patterns of short-term stock return reversal based on stock liquidity (measured by size, volatility or turnover)? In their January 2023 paper entitled “Reversals and the Returns to Liquidity Provision”, Wei Dai, Mamdouh...
What is the best short-term reversal indicator for equity exchange-traded funds (ETF)? In his January 2023 paper entitled “A Comparison of Short-Term Mean-Reversion Indicators for Global Equities”, Raymond Micaletti tests several short-term mean reversion indicators...
How can researchers assess the true value and robustness of new stock return anomalies (predictors) in consideration for addition to the factor zoo? In their January 2023 paper entitled “Assaying Anomalies”, Robert Novy-Marx and Mihail...
Below is a weekly summary of our research findings for 2/6/23 through 2/10/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is put-spread collar strategy performance sensitive to the portfolio rebalancing schedule (due to rebalance timing luck). In their January 2023 paper entitled “The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck”, Steven Braun, Corey...
Does aggregate insider stock buying and selling offer clues about future stock market returns? In their January 2023 paper entitled “Aggregate Insider Trading in the S&P 500 and the Predictability of International Equity Premia”, Andre...
A subscriber suggested an update of “GMO’s Stunningly Accurate Forecast?” with out-of-sample testing of GMO forecasts. To investigate, we test GMO’s 7-Year asset class real return forecasts of December 31, 2010, July 31, 2013, June...
Can investors exploit information about business credit tightening/loosening as reported since 1990 in the Federal Reserve’s quarterly Senior Loan Officer Survey to time the U.S. stock market? In the January 2023 draft of his paper...
Below is a weekly summary of our research findings for 1/30/23 through 2/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors presume that, in the absence of falsifiable theories, the body of factor investing research is largely spurious? In the January 2023 version of his paper entitled “Causal Factor Investing: Can Factor Investing Become...
Referring to “Asset Class Momentum Faster During Bear Markets?”, a subscriber asked about performance of a modification of the equal-weighted top three (EW Top 3) version of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)...
Below is a weekly summary of our research findings for 1/23/23 through 1/27/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Given that finance is ultimately tied to human emotions, does the body of research support belief that abilities of machine learning to handle large amounts of data, non-linearities and variable interactions will revolutionize investing? In...
How would currently popular asset allocation strategies have performed back to the end of 1925? In their January 2023 paper entitled “A Century of Asset Allocation Crash Risk”, Mikhail Samonov and Nonna Sorokina test the...
Below is a weekly summary of our research findings for 1/17/23 through 1/20/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are non-fungible tokens (NFT) viable and attractive as an investment class? In their December 2022 paper entitled “Non-Fungible Tokens (NFTs) as an Investment Class”, Mieszko Mazur and Efstathios Polyzos provide an overview of NFT investing....
Is there an optimal net (incorporating trading frictions) trend-following strategy for broad stock portfolios? In their November 2022 paper entitled “Optimal Trend-Following With Transaction Costs”, Valeriy Zakamulin and Javier Giner develop and test a simple...
Below is a weekly summary of our research findings for 1/9/23 through 1/13/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors make the stock return momentum effect stronger/more reliable by isolating stocks for which many similar stocks exhibit very strong or very weak past returns? In his December 2022 paper entitled “Neighbouring Assets”, Sina...
If a published theory is correct, its empirical results should hold for years after original test samples end. Are peer-reviewed, theory-supported (risk-based) academic studies of stock return predictors thereby superior to other streams of predictor...
Do stocks with high exposures to new technologies outperform? In her December 2022 paper entitled “New Technologies and Stock Returns”, Jinyoung Kim examines future returns of stocks with relatively high exposures to new technologies as...
A subscriber requested confirmation that a strategy of holding SPDR S&P 500 ETF Trust (SPY) at all times except options expiration week beats holding SPY all the time. To investigate, we look at holding SPY...
What is the critical success factor for experienced traders? In their December 2022 paper entitled “Strategic Sophistication and Trading Profits: An Experiment with Professional Traders”, Marco Angrisani, Marco Cipriani and Antonio Guarino compare results from...