How has “A Quantitative Approach to Tactical Asset Allocation”, authored by Meb Faber in 2006 and published in The Journal of Wealth Management in 2007, performed post-publication? In his April 2025 paper entitled “Global Tactical...
Can investors exploit analyst stock price targets by finding the best analysts and overweighting the most extreme target-implied returns? In their March 2025 paper entitled “Alpha in Analysts”, Álvaro Cartea and Qi Jin test the...
Below is a weekly summary of our research findings for 5/27/25 through 5/30/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE...
Is trend-following generally an attractive strategy for crypto-assets? In their April 2025 paper entitled “Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins”, Carlo Zarattini, Alberto Pagani and Andrea Barbon test a long-only trend-following...
A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced...
How and how much does the Federal Reserve Open Market Committee (FOMC) affect the overall stock market? In their April 2025 paper entitled “The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels...
Below is a weekly summary of our research findings for 5/19/25 through 5/23/25. 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 commented and asked: “I have been wondering whether Morningstar’s estimate of ‘fair value’ for stocks has any relationship to actual subsequent returns. For instance, when the fair value is more than double the...
Are exchange-traded funds (ETF) focused on Initial Public Offerings of stocks (IPO) attractive? To investigate, we consider three of the largest IPO ETFs and one recent Special Purpose Acquisition Company (SPAC) ETF, one of which...
Are more factors better for predicting stock market returns? In their April 2025 paper entitled “The Limited Virtue of Complexity in a Noisy World”, Álvaro Cartea, Qi Jin and Yuantao Shi analyze the interactions between...
Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to...
Should a long-only equity investor seeking exposure to the size factor (stocks with small market capitalizations tend to outperform) and the value factor (stocks that are cheap with respect to fundamentals tend to outperform) choose...
Below is a weekly summary of our research findings for 5/12/25 through 5/16/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are the implications of stock trading volume spikes for near-term returns? In their February 2025 paper entitled “Volume Shocks and Overnight Returns”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Mungo Wilson study the effects...
Can investors exploit the definition of conventional 12-2 stock momentum (long the tenth, or decile, of stocks with the highest returns from 12 months ago to two months ago and short the decile with the...
Do individual investors trade carefully and cautiously, or do they make snap judgments? In their March 2025 paper entitled “The Research Behavior of Individual Investors”, Toomas Laarits and Jeffrey Wurgler employ browser histories for an...
What is the state of formal research on cryptocurrency investment strategies? In his April 2025 paper entitled “Quantitative Alpha in Crypto Markets: A Systematic Review of Factor Models, Arbitrage Strategies, and Machine Learning Applications”, William...
Below is a weekly summary of our research findings for 5/5/25 through 5/9/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should those aiming to exploit machine learning for portfolio construction focus model training on the broad market or specific industries? In their April 2025 paper entitled “Do Machine Learning Models Need to Be Sector Experts?”,...
“What Kind of Asset Is Bitcoin?” assesses relationships between of the Grayscale Bitcoin Trust ETF (GBTC) as a proxy for bitcoin holdings and each of 35 exchange-traded products based on daily and monthly return correlations....
Does the evolution of empirical asset pricing point inevitably to machine learning methods? In his February 2025 paper entitled “From Econometrics to Machine Learning: Transforming Empirical Asset Pricing”, Chuan Shi summarizes the transition from traditional...
“U.S. Stock Market Death Crosses and Golden Crosses” employs long samples to examine behaviors of the Dow Jones Industrial Average and the S&P 500 Index after death crosses and golden crosses, respectively the 50-day simple...
A subscriber suggested looking at the S&P 500 price-to-sales ratio (P/S) as an indicator for timing the U.S. stock market. To investigate, we relate P/S and change in P/S to S&P 500 Index (SP500) quarterly...
Below is a weekly summary of our research findings for 4/28/25 through 5/2/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...