Below is a weekly summary of our research findings for 1/16/24 through 1/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? To investigate, we consider two views of...
Below is a weekly summary of our research findings for 1/8/24 through 1/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 1/2/24 through 1/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Academic studies of stock portfolio optimization often use an equal-weighted (EW) strategy as benchmark. Are there simple EW enhancements that researchers ought to consider instead? In their December 2023 paper entitled “Outperforming Equal Weighting”, Antonello...
“Distance Between Fast and Slow Price SMAs and Stock Returns” finds that extreme distance between a 21-trading day simple moving average (SMA) and 200-trading day SMA, as applied to individual U.S. stock price series, may...
Below is a weekly summary of our research findings for 12/26/23 through 12/29/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In their 2023 book, The Missing Billionaires: A Guide to Better Financial Decisions, authors Victor Haghani and James White seek “to give you a practical framework, consistent with the consensus of university finance textbooks, for...
Does degree of difference between fast and slow simple moving averages (SMA) for a stock price series predict future stock return? In the December 2023 revision of their paper entitled “Moving Average Distance as a...
Are return reversals especially strong for lottery stocks? In their October 2023 paper entitled “Maxing Out Short-term Reversals in Weekly Stock Returns”, Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun investigate return reversals for...
Below is a weekly summary of our research findings for 12/18/23 through 12/22/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
At the suggestion of one of his subscribers, Willi Bambach requested independent review of his 1g QMP [Quantified Market Psychology] strategy, tracked since December 2007 on TimerTrac. To facilitate a review, he provided a brief...
Are Zero-Days-to-Expiration (0DTE) options attractive trading vehicles? In his November 2023 paper entitled “0DTE Trading Rules”, Grigory Vilkov surveys outcomes for popular strategies that each day take unhedged positions in cash-settled 0DTE options on the...
Does market volatility predictably affect returns to simple moving average (SMA) trend-following strategies? In their November 2023 paper entitled “Market Volatility and the Trend Factor”, Ming Gu, Minxing Sun, Zhitao Xiong and Weike Xu investigate...
Below is a weekly summary of our research findings for 12/11/23 through 12/15/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What trading experience makes individual day traders quit trading? In their November 2023 paper entitled “Why Do Individuals Keep Trading and Losing?”. Fernando Chague, Bruno Giovannetti, Bernardo Guimaraes and Bernardo Maciel study the life cycle...
Should investors focus on global equity factors or local (country) equity factors when trying to predict their local market returns? In their November 2023 paper entitled “How Global is Predictability? The Power of Financial Transfer...
Should qualified investors count on global macro (GM) and managed futures (MF, or alternatively CTA for commodity trading advisors) hedge funds to beat the market? In their November 2023 paper entitled “Global Macro and Managed...
With stock portfolio construction increasingly based on “black box” machine learning models with very large numbers of inputs, how can investors decide whether portfolio recommendations make sense? In their November 2023 paper entitled “The Anatomy...
Do different proxies for investor disagreement widely used as stock return predictors (analyst forecast dispersion, idiosyncratic volatility and trading volume) generally agree? In their November 2023 paper entitled “Disagreement of Disagreement”, Christian Goulding, Campbell Harvey...
Below is a weekly summary of our research findings for 12/4/23 through 12/8/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Simplest Asset Class ETF Momentum Strategy Update” updates performance of a strategy that each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the...
Should investors consider portfolio volatility when choosing allocations to stocks and bonds in their retirement accounts? In his October 2023 paper entitled “Retirement Planning: The Volatility-Adjusted Coverage Ratio”, Javier Estrada introduces volatility-adjusted coverage ratio (VAC)...
The Conference Board “publishes leading, coincident, and lagging indexes designed to signal peaks and troughs in the business cycle for major economies around the world,” including the widely cited Leading Economic Index (LEI) for the...
Is there an exploitable way to find which stocks lead and which stocks lag in returns? In their October 2023 paper entitled “Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies”, Álvaro Cartea, Mihai Cucuringu...