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3240 Research Articles

SACEVS Input Risk Premiums and EFFR

The “Simple Asset Class ETF Value Strategy” (SACEVS) seeks diversification across a small set of asset class exchanged-traded funds (ETF), plus a monthly tactical edge from potential undervaluation of three risk premiums: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield and the 3-month Constant Maturity U.S. Treasury bill (T-bill) yield. Credit – monthly difference between the Moody’s… Keep Reading

Simple Currency ETF Momentum Strategy

Do exchange-traded funds (ETF) that track major currencies support a relative momentum strategy? To investigate, we consider the following four ETFs: Invesco DB US Dollar Bullish (UUP) Invesco CurrencyShares Euro Currency (FXE) Invesco CurrencyShares Japanese Yen (FXY) WisdomTree Chinese Yuan Strategy (CYB) We each month rank these ETFs based on past return over lookback intervals… Keep Reading

Add Managed Futures Fund Index to SACEMS?

Referencing Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) used as a benchmark in “Are Managed Futures ETFs Working?”, a subscriber asked about adding a managed futures fund index to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe. To investigate, we apply the methodology of  “SACEMS Portfolio-Asset Addition Testing” by adding either Eurekahedge or… Keep Reading

Asset Class ETF Seasonalities?

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 (SPY) iShares Russell 2000… Keep Reading

Mad Money Still Mad?

Does coverage of stocks on Mad Money attract attention to them and affect their returns? In their August 2022 paper entitled “Does the Mad Money Show Cause Investors to Go Madly Attentive?”, Lawrence Kryzanowski and Ali Rouhghalandari examine reactions of investors to stocks related to Mad Money guest interviews and buy/sell recommendations. They measure impacts… Keep Reading

Weekly Summary of Research Findings: 9/19/22 – 9/23/22

Below is a weekly summary of our research findings for 9/19/22 through 9/23/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Resilience of Low-volatility Stocks

The body of research indicates that low-volatility/low-beta stock investing suppresses exposure to overall equity market risk. Does it work equally well for different sources of such risk? In his September 2022 paper entitled “Macro Risk of Low-Volatility Portfolios”, David Blitz examines the separate exposures of low-volatility portfolios to interest rate, implied volatility, liquidity, commodity, sentiment,… Keep Reading

Are Equity Multifactor ETFs Working?

Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven ETFs, all currently available: iShares Edge MSCI Multifactor USA (LRGF) – holds large and mid-cap U.S. stocks with focus on quality, value, size and momentum, while maintaining a level of risk similar to that of the market. The benchmark… Keep Reading

Aggregated Firm ESG Ratings and Future Stock Market Returns

Do environmental, social, and corporate governance (ESG) ratings aggregated across individual firms predict overall stock market returns? In the July 2022 version of their paper entitled “ESG and the Market Return”, Ran Chang, Liya Chu, Bohui Zhang, Guofu Zhou and Jun Tu investigate whether ESG ratings in aggregate predict overall stock market returns. Specifically, they… Keep Reading

Asset Class ETF Interactions with the Euro

How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement frequency. Using… Keep Reading