Below is a weekly summary of our research findings for 10/17/22 through 10/21/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers have questioned selecting assets with negative past returns within the “Simple Asset Class ETF Momentum Strategy” (SACEMS). Inclusion of Cash as one of the assets in the SACEMS universe of exchange-traded funds (ETF) prevents...
Below is a weekly summary of our research findings for 10/10/22 through 10/14/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are many accepted equity factors/return anomalies artifacts of the secular decline in interest rates during their discovery sample periods? In their September 2022 paper entitled “The Factor Multiverse: The Role of Interest Rates in Factor...
Do formal asset allocation methods specify a portfolio allocation to bitcoin (BTC)? In his September 2022 paper entitled “Optimal Allocation to Cryptocurrencies in Diversified Portfolios”, Artur Sepp applies four quantitative methods to estimate optimal allocations...
How does elimination of broker commissions on stock trades affect individual investors? In their September 2022 paper entitled “Fee the People: Retail Investor Behavior and Trading Commission Fees”, Omri Even-Tov, Kimberlyn George, Shimon Kogan and...
Market commentators sometimes cite a high Chicago Board Options Exchange (CBOE) Volatility Index (VIX), the options-implied volatility of the S&P 500 Index as an indicator of investor sentiment and therefore a contrarian signal for the...
Below is a weekly summary of our research findings for 10/3/22 through 10/7/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors beat a 60/40 stocks/bonds portfolio via a long-only momentum strategy applied to many asset class proxies? In their September 2022 paper entitled “Long-Only Multi-Asset Momentum: Searching for Absolute Returns”, Enrique Zambrano and Carlos...
Is growing interest in environmental, social, and governance (ESG) issues among investors and asset managers materially affecting stock selection decisions and associated returns? In the September 2022 version of their paper entitled “The Economic Impact...
A subscriber asked about potential relationships between percentages of MBA graduates hired by an industry/sector and the future returns for corresponding sectors. To investigate, we look at lead-lag relationships between annual percentages of University of...
Below is a weekly summary of our research findings for 9/26/22 through 9/30/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do exchange-traded funds (ETF) that track major currencies support a relative momentum strategy? To investigate, we consider the following four ETFs: Invesco DB US Dollar Bullish (UUP) Invesco CurrencyShares Euro Currency (FXE) Invesco CurrencyShares Japanese...
Referencing Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) used as a benchmark in “Are Managed Futures ETFs Working?”, a subscriber asked about adding a managed futures fund index to the Simple Asset Class ETF Momentum...
Does coverage of stocks on Mad Money attract attention to them and affect their returns? In their August 2022 paper entitled “Does the Mad Money Show Cause Investors to Go Madly Attentive?”, Lawrence Kryzanowski and...
Below is a weekly summary of our research findings for 9/19/22 through 9/23/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The body of research indicates that low-volatility/low-beta stock investing suppresses exposure to overall equity market risk. Does it work equally well for different sources of such risk? In his September 2022 paper entitled “Macro Risk...
Do environmental, social, and corporate governance (ESG) ratings aggregated across individual firms predict overall stock market returns? In the July 2022 version of their paper entitled “ESG and the Market Return”, Ran Chang, Liya Chu,...
Below is a weekly summary of our research findings for 9/12/22 through 9/16/22. 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 a tactic that requires a subsequent confirming signal before triggering a strategy action. To investigate we use the 10-month simple moving average (SMA10) as applied to the S&P 500 Index and...
A subscriber asked about a tactic employed in some strategies wherein a new X-day high (breakout) triggers a buy and a new Y-day low (breakdown) triggers a sell. Specific X:Y values requested are 55:20, 100:20,...
Below is a weekly summary of our research findings for 9/6/22 through 9/9/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors believe that long-term asset class return forecasts are useful? In his brief August 2022 paper entitled “How Accurate are Capital Market Assumptions, and How Should We Use Them?”, Mike Sebastian employs 10 years...
Do morning and afternoon stock returns convey different meanings due to gradual dissipation of information asymmetry among traders during the trading day (as the market digests overnight news)? In their August 2022 paper entitled “A...
A subscriber, referring to a March 2016 commentary stating that “microcap stocks offer investors one of the best opportunities for consistent, long-term excess returns,” inquired about the performance of quality-value-momentum microcap strategy described therein. To...