A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise...
Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by...
“Margin Debt as a Stock Market Indicator” investigates whether NYSE margin debt predicts future stock market returns. Since updates to this variable are not available, we instead consider the following three aggregate monthly investment account...
Below is a weekly summary of our research findings for 9/20/21 through 9/24/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled “Be Skeptical of Asset Management Research”, Campbell Harvey argues that economic incentives undermine belief in findings...
Below is a weekly summary of our research findings for 9/13/21 through 9/17/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How frequently and permanently do individual U.S. investors sell stocks in a panic? In their August 2021 paper entitled “When Do Investors Freak Out?: Machine Learning Predictions of Panic Selling”, Daniel Elkind, Kathryn Kaminski, Andrew...
Below is a weekly summary of our research findings for 9/7/21 through 9/10/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Combining SMA10 and Sahm Indicator”, a subscriber asked for a comparison of signals generated by the Sahm Recession Indicator (Sahm) and by yield curve inversion. The former signals a recession when the...
Below is a weekly summary of our research findings for 8/30/21 through 9/3/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is Bitcoin beginning to displace gold as a U.S. dollar hedge? To investigate, we look at rolling correlations of returns for the following pairs of exchange-traded funds (ETF): Grayscale Bitcoin Trust (GBTC) and SPDR Gold...
Below is a weekly summary of our research findings for 8/23/21 through 8/27/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do credit portfolio managers adjust their portfolios more expeditiously than equity managers, thereby offering a means to time the equity market? In his August 2021 paper entitled “Credit-Informed Tactical Asset Allocation – 10 Years On”,...
A subscriber asked about a stock market timing strategy that combines the market 10-month simple moving average (SMA10) and the Sahm Recession Indicator (Sahm), which signals the start of a recession when the 3-month SMA...
Leading index providers have introduced thematic stock indexes to address transformative macroeconomic, geopolitical or technological trends (for example, cybersecurity, robotics, autonomous vehicles and clean power). How do these indexes relate to standard asset pricing models?...
A subscriber requested review of a swing trade strategy that buys and sells Invesco QQQ Trust (QQQ) according to the following rules: Buy at the close when it is either Monday or Tuesday and QQQ...
Below is a weekly summary of our research findings for 8/16/21 through 8/20/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the WisdomTree approach to exchange-traded fund (ETF) cost efficiency and performance potential (Modern Alpha) attractive? To investigate, we compare performance statistics of six WisdomTree ETFs, all currently available, to those of “easy substitute” (widely...
How well do derivatives traders perform, and why? In the July 2021 version of their paper entitled “Derivatives Leverage is a Double-Edged Sword”, Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang study the performance...
Below is a weekly summary of our research findings for 8/9/21 through 8/13/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should practitioners and academics doing research on financial markets be especially careful (compared to researchers in other fields) when employing statistical inference. In the July 2021 version of their paper entitled “Finance is Not Excused:...
Is it possible to isolate environmental, social and governance characteristics (ESG) effects on stock returns from those of other stock characteristics? In their July 2021 paper entitled “Chasing The ESG Factor”, Abraham Lioui and Andrea...
When a public pension fund reports beating its benchmark, does that signify a job well done? In his July 2021 paper entitled “Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States:...
Below is a weekly summary of our research findings for 8/2/21 through 8/6/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The National Bank Act of 1863 created a national currency backed by U.S. Treasury bonds and curtailed the era of Free Banking (wildcat private currencies), which resembles the current environment of stablecoins (such as Tether...