A subscriber requested evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT)...
Which alternative risk premiums (ARP) protect against stock and bond market crashes via return correlations/betas that remain low during such events? In their May 2023 paper entitled “Does Alternative Risk Premia Diversify? New Evidence for...
In his 2023 book, The Uncertainty Solution: How to Invest with Confidence in the Face of the Unknown, author John Jennings seeks “to provide individual investors with mental models that will help them make better...
Below is a weekly summary of our research findings for 6/5/23 through 6/9/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What characteristics of U.S. equity factor return series are most relevant to respective factor performance? In his May 2023 paper entitled “The Cross-Section of Factor Returns” David Blitz explores long-term average returns and market alphas,...
Do the stocks that dominate shareholder wealth-building (accounting for share price changes, dividends, repurchases/new share issuances and investor money flows) increasing concentrate within a small pool? In his May 2023 paper entitled “Shareholder Wealth Enhancement”,...
Are the latest forms of artificial intelligence (AI) better at forecasting stock market returns than humans? In his February 2023 preliminary paper entitled “Surveying Generative AI’s Economic Expectations”, Leland Bybee summarizes results of monthly and...
Why is trend following so persistently popular among investors? In their March 2022 paper entitled “A Guide to Trend Following Strategies”, Stuart Broadfoot and Daniel Leveau describe popular trend identification methods and provide an example...
Should investors in low-cost mutual funds consider active ones? In his April 2023 paper entitled “Vanguard and Fidelity Domestic Active Stock Funds: Both Beat their Style Mimicking Vanguard Index Funds, & Vanguard Beats by More”,...
Below is a weekly summary of our research findings for 5/30/23 through 6/2/23. 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 about the performance of the 50-50 Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 in combination with “Sell in May”. To investigate, we...
How does the U.S. stock market typically react to U.S. debt ceiling discussions/actions? To investigate, we look at cumulative S&P 500 Index returns around actions to change the debt ceiling. Using daily S&P 500 Index...
Below is a weekly summary of our research findings for 5/22/23 through 5/26/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
For the last half-century, financial researchers have fallen short of scientific rigor, focusing on associations not supported by theory and not amenable to falsification. Is there is hope for finance to become a scientific field?...
Simple moving averages (SMA) are perhaps the most widely used and simplest market regime indicators. For example, many investors estimate that a stock index, exchange-traded fund (ETF) or individual stock priced above (below) its 200-day...
Are there clearly skilled and unskilled stock-picking influencers on social media platforms such as StockTwits? If so, do investor reactions to such influencers drive out the unskilled ones? In their March 2023 paper entitled “Finfluencers”,...
Below is a weekly summary of our research findings for 5/15/23 through 5/19/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What kind of return patterns are typical of beginnings and ends of equity bull and bear markets? In his April 2023 paper entitled “Investor Overreaction: Evidence From Bull and Bear Markets”, Valeriy Zakamulin examines return...
Is equal weighting of portfolio assets easy or hard to beat within or across asset classes? In their April 2023 paper entitled “Is Naïve Asset Allocation Always Preferable?”, Thomas Conlon, John Cotter, Iason Kynigakis and...
Below is a weekly summary of our research findings for 5/8/23 through 5/12/23. 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 review of a strategy that seeks to exploit “Sell in May” by switching between risk-on assets during November-April and risk-off assets during May-October, with assets specified as follows: Risk-on – SPDR S&P...
Can investors improve long-term retirement portfolio outcomes by targeting equity factor premiums in their stock allocations? In his April 2023 paper entitled “How Targeting the Size, Value, and Profitability Premiums Can Improve Retirement Outcomes”, Mathieu...
Which industries are most exposed to disruption by artificial intelligence (AI) language models such as ChatGPT? In the April 2023 version of their paper entitled “How will Language Modelers like ChatGPT Affect Occupations and Industries?”,...
Does the speed of a stock index decline from a recent high help decide whether to buy-the-dip or wait? In his April 2023 paper entitled “The 5% Canary”, Andrew Thrasher evaluates the whether the duration...
Can day traders reliably get rich quick? In their April 2023 paper entitled “Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy vs. Benchmark in...