Do analysts systematically ignore the connection between future firm earnings and current economic conditions? In their July 2024 paper entitled “Predicting Analysts’ S&P 500 Earnings Forecast Errors and Stock Market Returns Using Macroeconomic Data and...
Below is a weekly summary of our research findings for 8/5/24 through 8/9/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Has ease of access to, and processing of, firm accounting data suppressed stock anomalies by leveling the information playing field? In their July 2024 paper entitled “The Effect of New Information Technologies on Asset Pricing...
What are the best ways to apply backtesting in the development of investment strategies? In their July 2024 paper entitled “The Three Types of Backtests”, Jacques Joubert, Dragan Sestovic, Illya Barziy, Walter Distaso and Marcos...
What is the distribution of U.S. common stock outcomes over the past century? In the July 2024 draft of his paper entitled “Which U.S. Stocks Generated the Highest Long-Term Returns?”, Hendrik Bessembinder presents cumulative returns...
Does the CBOE Volatility Index (VIX) exhibit exploitable seasonality? To investigate, we calculate by calendar month and compare average monthly: Change in VIX. Return for ProShares VIX Short-Term Futures ETF (VIXY). Return for ProShares Short...
Below is a weekly summary of our research findings for 7/29/24 through 8/2/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does Michael Farr, CEO and founder of Farr, Miller & Washington, offer good stock picks via his annual CNBC articles identifying the best 10 stocks for the next year? To investigate, we take his picks...
Does subjective technical analysis truly add value? In their June 2024 paper entitled “The Power Of Price Action Reading”, Carlo Zarattini and Marios Stamatoudis investigate the value added to simple trading rules by the discretionary...
A subscriber observed and asked: “Many Bogleheads at Vanguard prefer a buy and hold portfolio of 50% SPY, 25% each BND and EFA [rebalanced annually]. How does this compare to your current strategy? And how...
Below is a weekly summary of our research findings for 7/22/24 through 7/26/24. 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 requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value,...
Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024...
A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a...
Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. 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 for confirmation that the strategy described at “Meb Faber’s 12-Month High Switch” (the strategy) is attractive. This strategy at each monthly close: Calculates the 12-month high for: SPDR S&P 500 ETF Trust...
Below is a weekly summary of our research findings for 7/8/24 through 7/12/24. 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 if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a utilities risk premium, derived from the yield on Utilities Select Sector SPDR Fund (XLU)? To investigate, we apply the SACEVS methodology to the following...
“Use Short-term S&P 500 Index Indicators to Predict VIX Futures?” describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term...
Does the S&P 500 Index (SPX) or the CBOE Volatility Index (VIX) yield better short-term trading signals for stocks and VIX futures? In the May 2024 revision of his paper entitled “Chicken and Egg: Should...
Below is a weekly summary of our research findings for 7/1/24 through 7/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can artificial intelligence (AI), in the form of a deep-learning neural network, outperform human analysts in predicting stock prices at an annual horizon? In the May 2024 revision of his paper entitled “Can AI Replace...
“Countercyclical Asset Allocation Strategy” summarizes research on a simple countercyclical asset allocation strategy that systematically raises (lowers) the allocation to an asset class when its current aggregate allocation is relatively low (high). The underlying research is...
Is industry trend-following an attractive strategy over the long run? In their June 2024 paper entitled “A Century of Profitable Industry Trends”, Carlo Zarattini and Gary Antonacci evaluate the long-term performance of a long-only industry...
Is copper price a reliable leading indicator of economic activity and therefore of future corporate earnings and equity prices? To investigate, we employ the monthly price index for copper base scrap from the U.S. Bureau...