A subscriber asked whether the optimal momentum ranking (lookback) interval for the “Simple Asset Class ETF Momentum Strategy” (SACEMS) shrinks during bear markets for U.S. stocks. To investigate, we compare SACEMS monthly performance statistics when...
Below is a weekly summary of our research findings for 2/22/22 through 2/25/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
...evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future...
What is the overall best way to weight stock portfolios? In their February 2022 paper entitled “Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios”, Wei Dai, Namiko Saito and Gigi Wang...
Below is a weekly summary of our research findings for 2/14/22 through 2/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Using quarterly data in their April 2013 paper entitled “Analyzing Federal Reserve Asset Purchases: From Whom Does the Fed Buy?” Seth Carpenter, Selva Demiralp, Jane Ihrig and Elizabeth Klee find that some categories of investors...
Below is a weekly summary of our research findings for 2/7/22 through 2/11/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What happens after extreme up days or extreme down days for the U.S. stock market? To investigate, we define extreme up or down days as those with daily returns at least X standard deviations above...
Do stocks of firms focused on luxury goods outperform those of more prosaic companies? In his June 2019 paper entitled “Demand-Driven Risk and the Cross-Section of Expected Returns”, Alejandro Lopez-Lira examines aggregate performance of firms...
A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we use a 10-month simple moving...
Does the number of factors significantly predicting next-month stock returns vary substantially over time? If so, what accounts for the variation? In their December 2021 paper entitled “Time Series Variation in the Factor Zoo”, Hendrik...
Below is a weekly summary of our research findings for 1/31/22 through 2/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber suggested expanding and modifying the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS) to consist of the following exchange-traded funds (ETF): SPDR Portfolio S&P 500 Growth (SPYG) SPDR Portfolio S&P 500 Value...
Are some passive exchange-trade-fund (ETF) managers more efficient than others in adjusting to changes in underlying benchmark indexes? In the December 2021 revision of his paper entitled “Should Passive Investors Actively Manage Their Trades?”, Sida...
How do returns of different asset classes recently interact with uncertainty in government economic policy as quantified by the Economic Policy Uncertainty (EPU) Index? This index at the beginning of each month incorporates from the...
Below is a weekly summary of our research findings for 1/24/22 through 1/28/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A non-fungible token (NFT) is a way to record, verify and track on a blockchain ownership of a unique physical or digital asset such as a work of art, a futures contract, a music score,...
Below is a weekly summary of our research findings for 1/18/22 through 1/21/22. 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 labor force participation rate, measured monthly by the U.S. Bureau of Labor Statistics along with employment and unemployment rate, predict U.S. stock market returns? An increasing (decreasing) participation rate may may indicate strong...
A subscriber asked whether substituting the less volatile Vanguard Dividend Appreciation Index Fund (VIG) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum...
Below is a weekly summary of our research findings for 1/10/22 through 1/14/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Trading Calendar presents full-year and monthly cumulative performance profiles for the overall U.S. stock market (proxied by the S&P 500 Index) based on average daily behavior. Do monthly behaviors of U.S. stock market sectors deviate...
Below is a weekly summary of our research findings for 1/3/22 through 1/7/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do models of the cross-section of future stock returns based on technical indicators work as well as those based on fundamental factors? In their December 2021 paper entitled “Technical Indicators and Cross-Sectional Expected Returns”, Hui...
How have active equity investment managers performed over the past three decades? In his November 2021 paper entitled “Active Equity Management, 1991-2020”, Gene Hochachka examines whether: (1) active equity managers as a group beat their...