How should investors reposition portfolios across inflationary regimes (deflation, low inflation, mild inflation, high inflation)? In their July 2022, paper entitled “Investing in Deflation, Inflation, and Stagflation Regimes”, Guido Baltussen, Laurens Swinkels and Pim van...
Below is a weekly summary of our research findings for 7/11/22 through 7/15/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Over at least the past three decades, 100% or more of the return (0% or negative return) on a wide range of risky assets occurs when markets are closed (open). Is this overnight effect important...
Multifactor funds offer rules-based, diversified exposures to firm/stock factors found to beat the market in academic studies. Do the funds beat the market in real life? In his June 2022 paper entitled “Multifactor Funds: An...
Below is a weekly summary of our research findings for 7/5/22 through 7/8/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do the choices researchers make when constructing factor portfolios to explain stock returns materially affect their findings? In their June 2022 paper entitled “Mind Your Sorts”, Amar Soebhag, Bart van Vliet and Patrick Verwijmeren examine...
A subscriber asked whether the Turn-of-the-Month (TOTM) effect applies to currencies. To investigate, as in the past, we define TOTM as the interval from the close five trading days before to the close four trading...
A subscriber asked about the relationship between the high-yield bond spread and stock market return, with focus on when the latter is entering a bear market. To investigate, we use the ICE BofA US High...
Below is a weekly summary of our research findings for 6/27/22 through 7/1/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What determines whether a stock will exhibit short-term momentum or short-term reversal? In their May 2022 paper entitled “Short-term Relative-Strength Strategies, Turnover, and the Connection between Winner Returns and the 52-week High”, building upon prior...
The 10-month simple moving average (SMA10) is a widely studied trend-following technical indicator for the U.S. stock market. How much value does it add? To investigate, we compare: SMA10 – A strategy that is each...
Below is a weekly summary of our research findings for 6/21/22 through 6/24/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there conflicts inherent in an investment strategy seeking to impose social preferences on a value style? In their May 2022 paper entitled “No Good Deed Goes Unpunished? Social vs. Investment”, Tzee-man Chow and Feifei...
Below is a weekly summary of our research findings for 6/13/22 through 6/17/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What information is key to investing in crypto-assets? In their May 2022 paper entitled “An Investor’s Guide to Crypto”, Campbell Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van...
Should investors dismiss short-term signals as unexploitable due to high trading frictions? In their May 2022 paper entitled “Beyond Fama-French Factors: Alpha from Short-Term Signals”, David Blitz, Matthias Hanauer, Iman Honarvar, Rob Huisman and Pim...
Below is a weekly summary of our research findings for 6/6/22 through 6/10/22. 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 whether the U.S. dollar is a safe haven from the U.S. stock market. One way to address the question is to repeat the tests used in “Best Safe Haven ETF?” on Invesco...
Is the government debt-to-Gross Domestic Product (GDP) ratio a useful predictor of stock and bond market returns? In his May 2021 paper entitled “Government Debt and Risk Premia”, Yang Liu examines relationships between future stock...
In response to Very Simple Asset Class ETF Momentum Strategy (VSACEMS), a subscriber requested evaluation of an alternative VSACEMS that considers only the following three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+...
Below is a weekly summary of our research findings for 5/31/22 through 6/3/22. 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 suggested review of a Follow the Leader (FTL) strategy that, in simplest form, each month holds iShares MSCI Emerging Markets ETF (EEM) when prior-month SPDR S&P 500 ETF Trust (SPY) return is positive...
What happens after the stock market has a streak of up or down weeks? To check, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and calculate average weekly...
Can investors beat the market by exploiting preannounced (anti-value) changes to traditional capitalization-weighted indexes, generally comprised of additions with recent strong performance and deletions with recent weak performance? In their May 2022 paper entitled “The...
Below is a weekly summary of our research findings for 5/23/22 through 5/27/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...