Do quarterly allocation updates for the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) work as well as monthly updates? These strategies allocate funds to the following asset class exchange-traded funds (ETF)...
Below is a weekly summary of our research findings for 11/15/21 through 11/19/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can machine learning usefully inform daily crypto-asset trading? In their August 2021 paper entitled “Boosting Cryptocurrency Return Prediction”, Ilias Filippou, David Rapach and Christoffer Thimsen apply the XGBoost algorithm to decision trees to generate next-day...
Does actual performance support the view that university endowments are exemplary stewards of multi-asset class portfolios? In his November 2021 paper entitled “The Modern Endowment Story: A Ubiquitous U.S. Equity Risk Premium”, Richard Ennis re-examines...
Does over $1 trillion in crypto-assets (having no fundamental value and paying no interest, but trading freely) now held by Americans represent new wealth? In his brief June 2021 paper entitled “Bubble Wealth”, Bradford Cornell...
Are there plausible ways to forecast the price of bitcoin? In their March 2021 paper entitled “Bitcoin Price Forecast Using Quantitative Models”, Daniele Bernardi and Ruggero Bertelli examine fundamental bitcoin value from four perspectives: Stock-to-Flow...
The monthly Cass Freight Index is a “measure of North American freight volumes [shipments] and expenditures… Data within the Index includes all domestic freight modes and is derived from $28 billion in freight transactions processed by...
Below is a weekly summary of our research findings for 11/8/21 through 11/12/21. 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 performance of Simple Asset Class ETF Momentum Strategy (SACEMS) hedge portfolios, which each month buy the asset class exchange-traded funds (ETF) in the SACEMS universe with the highest past returns and...
Below is a weekly summary of our research findings for 11/1/21 through 11/5/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does past performance of Environmental, Social, and Corporate Governance (ESG) stocks derive mostly from shift in demand from other stocks to ESG stocks? In his September 2021 paper entitled “Flow-Driven ESG Returns”, Philippe van der...
Does the U.S. employment quit rate, a measurement from the Job Openings and Labor Turnover Survey run monthly by the U.S. Bureau of Labor Statistics, have implications for future U.S. stock market or U.S. Treasury...
What returns should investors expect from Non-fungible Tokens (NFT) as an alternative asset class? In the October 2021 revision of their paper entitled “Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible...
Below is a weekly summary of our research findings for 10/25/21 through 10/29/21. 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 10/18/21 through 10/22/21. 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 10/11/21 through 10/15/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the technically adjusted Seasonal Timing Strategy popularized some years ago in Sy Harding’s Street Smart Report Online (now unavailable due to Mr. Harding’s death) generate attractive performance? This strategy combines “the market’s best average...
A subscriber asked whether risk assets tend to struggle for about two years after low values of the ratio of corporate debt to Gross Domestic Product (GDP). To investigate, we use Non-financial Corporate Debt Securities...
Below is a weekly summary of our research findings for 10/4/21 through 10/8/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the best way to understand and anticipate variations in equity factor returns? Past research emphasizes factor return connections to business cycle variables or measures of investor sentiment (with little success). In his September...
Do equity premium predictors published in the past still work after extending their respective discovery samples through 2020? In their September 2021 paper entitled “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction...
What is the best way to conduct quantitative investment research? In his September 2021 presentation package entitled “Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential”, Marcos Lopez de Prado outlines the optimal...
Does variation in the number of reported cases of COVID-19 predict near-term asset returns? To investigate, we look for a test acknowledging that the available sample is short and very noisy. Specifically: To suppress noise,...
Below is a weekly summary of our research findings for 9/27/21 through 10/1/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is intensity of public interest in a “bear market” useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for “bear market” and relate this series to monthly...