What are the return behaviors of non-fungible tokens (NFT), which employ blockchain technology to convey ownership of unique digital or physical items? In their March 2022 paper entitled “The Economics of Non-Fungible Tokens”, Nicola Borri,...
Below is a weekly summary of our research findings for 3/28/22 through 4/1/22. 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 suggested comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety...
Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To...
Does the U.S. stock market reliably exhibit extreme behavior on days (mid-afternoon) when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Might the minutes be systematically encouraging, discouraging,...
Are there anomalies for U.S. stock market returns around equity option expiration (OE) days (normally the third Friday of each month, but the preceding Thursday when the market is closed on the third Friday)? To...
Below is a weekly summary of our research findings for 3/21/22 through 3/25/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How should the variability of stock market returns shape the outlooks of short-term traders and long-term investors? How strong is the tailwind of the general drift upward in stock prices? How powerful is the turbulence...
Which of the explanations offered in past research best explains, and potentially justifies belief in persistence of, stock return momentum? In the February 2022 revision of their paper entitled “What Explains Momentum? A Perspective From...
“SACEMS with Momentum Breadth Crash Protection” evaluates in depth the potential of a simple momentum breadth rule to improve performance of the Simple Asset Class ETF Momentum Strategy (SACEMS). This rule forces the model to...
How are behaviors of physically backed gold and gold miner exchange-traded funds (ETF) similar and different? To investigate we consider each of VanExk Vectors Gold Miners (GDX) and VanEck Vectors Junior Gold Miners (GDXJ) versus SPDR...
Some experts argue that high (low) gasoline prices mean that consumers must allocate more (less) spending power to fuel, and therefore less (more) to other industries and stocks. Do data support this argument? To check, we relate...
Below is a weekly summary of our research findings for 3/14/22 through 3/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the overnight return effect found pervasively among equity markets, as summarized in “Persistence of Overnight/Intraday Equity Market Return Patterns”, also hold for other asset classes? To investigate, we compare open-to-close (O-C) and close-to-open (C-O)...
With reference to “Turn-of-the-Month Effect Persistence and Robustness” and “Persistence of Overnight/Intraday Equity Market Return Patterns”, a subscriber asked about a strategy that is long SPDR S&P 500 ETF Trust (SPY) only from market close...
A subscriber asked which asset (short stocks, cash, bonds by subclass) is best to hold during equity bear markets. To investigate, we consider two ways to define a bear market: (1) months when SPDR S&P...
...long-run data offers stronger evidence for a stock market model based on the real earnings yield than for a model that compares the earnings yield to the long-term bond yield. It also suggests: (1) a...
A subscriber proposed adding Utilities Select Sector SPDR Fund (XLU) to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe based on the relatively low correlation of XLU with the broad U.S. stock market....
Below is a weekly summary of our research findings for 3/7/22 through 3/11/22. 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 whether traders should enter a position in gold, as proxied by SPDR Gold Shares (GLD), whenever Commercial gold futures traders are net long and Non-commercial gold future traders (Speculators) are net short....
Investors arguably expect that investments generate returns in excess of the inflation rate. Do different measures of the inflation rate indicate materially different yield discounts? To investigate, we relate 12-month trailing S&P 500 annual operating...
Are firms offering products and services purported to mitigate climate change compelling investments? In the February 2022 revision of their paper entitled “Climate Solutions Investments”, Alexander Cheema-Fox, George Serafeim and Hui Wang analyze international reports,...
Below is a weekly summary of our research findings for 2/28/22 through 3/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Why do the alphas generated by historical simulations/backtests disappear in live trading, with asset managers and brokers the only winners via fees and commissions. In their February 2022 paper entitled “Where’s the Beef?”, Robert Arnott,...
What best explains the decades-long pattern of strong overnight and weak intraday returns in most equity markets? In his January 2022 paper entitled “They Still Haven’t Told You”, Bruce Knuteson reviews possible explanations for this...