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3151 Research Articles

SACEVS with SMA Filter

The “Simple Asset Class ETF Value Strategy” (SACEVS) allocates across 3-month Treasury bills (Cash, or T-bill), iShares 20+ Year Treasury Bond (TLT), iShares iBoxx $ Investment Grade Corporate Bond (LQD) and SPDR S&P 500 (SPY) according to the relative valuations of term, credit and equity risk premiums. Does applying a simple moving average (SMA) filter to SACEVS allocations improve its… Keep Reading

EFFR and the Stock Market

Do changes in the Effective Federal Funds Rate (EFFR), the actual cost of short-term liquidity derived from a combination of market demand and Federal Reserve open market operations designed to maintain the Federal Funds Rate (FFR) target, predictably influence the U.S. stock market over the horizons up to a few months? To investigate, we relate smoothed (volume-weighted… Keep Reading

Alternative Proxy for Small Stocks in Measuring the Size Effect

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading

Time EEM with Real T-note Yield?

A subscriber, citing an assertion (without explanation) from an interview with a hedge fund manager, asked for confirmation that negative real yields on U.S. Treasury instruments predict poor returns for emerging market equities.  To investigate, we look at interactions between the real return on 10-year U.S. Treasury notes (T-notes) and return on iShares MSCI Emerging… Keep Reading

Economic Surprise Momentum

How should investors think about surprises in economic data? In their March 2022 paper entitled “Caught by Surprise: How Markets Respond to Macroeconomic News”, Guido Baltussen and Amar Soebhag devise and investigate a real-time aggregate measure of surprises in economic (not financial) variables around the world. Each measurement for each variable consists of release date/time,… Keep Reading

Weekly Summary of Research Findings: 4/18/22 – 4/22/22

Below is a weekly summary of our research findings for 4/18/22 through 4/22/22. 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.

Underwear Leads the Stock Market?

A subscriber hypothesized that keeping old underwear is an early indicator of personal income at risk. Trends in underwear, as proxied by Hanesbrands Inc. (HBI), may therefore be a leading indicator of trends in the overall stock market. To test this hypothesis, we relate HBI returns to SPDR S&P 500 ETF Trust (SPY) returns at… Keep Reading

ETFs Extinguishing Stock Anomalies?

Has the quick reaction of exchange-traded funds (ETF) to marketwide news made the stocks they hold more efficient than other stocks, thereby suppressing the strength of anomalies in stocks held? In their March 2022 paper entitled “ETFs, Anomalies and Market Efficiency”, Ilias Filippou, Songrun He and Guofu Zhou investigate effects of ETF ownership within the… Keep Reading

Investor Preferences and Bitcoin Allocations

Should investors consider allocations to bitcoin (BTC) in their investment portfolios? In their February 2022 paper entitled “Asset Allocation with Crypto: Application of Preferences for Positive Skewness”, Andrew Ang, Tom Morris and Raffaele Savi investigate how investors should think about allocations to BTC based on features of its historical return distribution. Specifically, they model optimal… Keep Reading

Are IPO ETFs Working?

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, all currently available with moderate trading volumes, in order of longest to shortest available histories: First Trust US Equity Opportunities ETF (FPX) –… Keep Reading