Below is a weekly summary of our research findings for 5/23/22 through 5/27/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do incentives distort research on financial markets, and how do incentivized researchers introduce the distortions? In his April 2022 paper entitled “The Pitfalls of Asset Management Research”, Campbell Harvey explores how economic incentives affect...
Should investors expect materially different returns for stocks accepted or excluded by institutional investors based on firm environmental, social and corporate governance (ESG) policies and practices? In their April 2022 paper entitled “The Expected Returns...
A subscriber asked which exchange-traded fund (ETF) asset class proxies make the best safe havens for the U.S. stock market as proxied by the S&P 500 Index. To investigate, we test 15 ETFs/funds as potential...
Below is a weekly summary of our research findings for 5/16/22 through 5/20/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the Buffett Indicator, the ratio of total stock market capitalization to Gross Domestic Product (GDP), a useful indicator of future stock market performance internationally? In their March 2022 paper entitled “The Buffett Indicator: International Evidence”,...
Do intraday (open-to-close, trading-driven/technical) and overnight (close-to-open, news-driven) stock returns play different roles in signaling short-term reversal, intermediate-term momentum and long-term reversion? In their March 2022 paper entitled “What Drives Momentum and Reversal? Evidence from...
Below is a weekly summary of our research findings for 5/9/22 through 5/13/22. 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 proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds...
Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns...
Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm...
In response to “Best Equity Risk Premium”, a subscriber asked whether the annual equity risk premium estimates of Aswath Damodaran predict stock market returns one year ahead. The cited source offers two 61-year series of...
Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of: CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) and CBOE...
Below is a weekly summary of our research findings for 5/2/22 through 5/6/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader requested evaluation of the Fosback Index and its Ned Davis variant. The creators of these indicators argue that a high (low) ratio of cash equivalents to assets among equity mutual funds indicates strong (weak) potential...
Does the finding from long-short factor analysis that the value premium is stronger among small stocks than large stocks hold for long-only value portfolios? In his April 2022 paper entitled “Long-Only Value Investing: Does Size...
Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled “A Look Under the Hood of Momentum Funds”, Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock...
Below is a weekly summary of our research findings for 4/25/22 through 4/29/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The “Simple Asset Class ETF Value Strategy” (SACEVS) allocates across 3-month Treasury bills (Cash, or T-bill), iShares 20+ Year Treasury Bond (TLT), iShares iBoxx $ Investment Grade Corporate Bond (LQD) and SPDR S&P 500 (SPY) according to the relative valuations...
A subscriber, citing an assertion (without explanation) from an interview with a hedge fund manager, asked for confirmation that negative real yields on U.S. Treasury instruments predict poor returns for emerging market equities. To investigate,...
How should investors think about surprises in economic data? In their March 2022 paper entitled “Caught by Surprise: How Markets Respond to Macroeconomic News”, Guido Baltussen and Amar Soebhag devise and investigate a real-time aggregate...
Below is a weekly summary of our research findings for 4/18/22 through 4/22/22. 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 hypothesized that keeping old underwear is an early indicator of personal income at risk. Trends in underwear, as proxied by Hanesbrands Inc. (HBI), may therefore be a leading indicator of trends in the...
Has the quick reaction of exchange-traded funds (ETF) to marketwide news made the stocks they hold more efficient than other stocks, thereby suppressing the strength of anomalies in stocks held? In their March 2022 paper...
Should investors consider allocations to bitcoin (BTC) in their investment portfolios? In their February 2022 paper entitled “Asset Allocation with Crypto: Application of Preferences for Positive Skewness”, Andrew Ang, Tom Morris and Raffaele Savi investigate...