Below is a weekly summary of our research findings for 10/19/20 through 10/23/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a better way to identify attractive and unattractive assets than simply ranking them? In the August 2020 version of their paper entitled “Decoding Systematic Relative Investing: A Pairs Approach”, Christian Goulding, Campbell Harvey...
Does equity factor portfolio reformation (rebalancing) schedule materially affect portfolio performance? In their February 2020 paper entitled “Rebalance Timing Luck: The (Dumb) Luck of Smart Beta”, Corey Hoffstein, Nathan Faber and Steven Braun measure rebalance...
Subscribers have asked whether substituting Market Vectors Gold Miners ETF (GDX) for SPDR Gold Shares (GLD) as a proxy for gold improves the performance of the Simple Asset Class ETF Momentum Strategy (SACEMS)? To check, we...
Below is a weekly summary of our research findings for 10/12/20 through 10/16/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which institutional investors do best and why? In the September 2020 update of their paper entitled “The Canadian Pension Fund Model: A Quantitative Portrait”, Alexander Beath, Sebastien Betermier, Chris Flynn and Quentin Spehner compare performances...
Based on the conventional definition of the value premium, value underperforms growth over last 13.5 years with maximum drawdown of a long value-short growth portfolio -55%. Is value investing dead? In the August 2020 update...
What economic/financial variables are most useful in predicting re-election prospects for incumbent U.S. presidents? In the November 2012 revision of their paper entitled “Social Mood, Stock Market Performance and U.S. Presidential Elections: A Socionomic Perspective...
Is gold a hedge and safe haven for other asset classes globally? In their September 2020 paper entitled “Gold as a Financial Instrument”, Pedro Gomis‐Porqueras, Shuping Shi and David Tan explore effectiveness of gold as...
Below is a weekly summary of our research findings for 10/5/20 through 10/9/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do different asset classes interact with the Chinese yuan-U.S. dollar exchange rate? To investigate, we consider relationships between WisdomTree Chinese Yuan Strategy (CYB) and the exchange-traded fund (ETF) asset class proxies used in the...
Do sophisticated investors choose investment managers wisely? In their July 2020 paper entitled “Choosing Investment Managers”, Amit Goyal, Sunil Wahal and Deniz Yavuz investigate how institutional investors select investment managers for public equity and fixed...
Are typical investors persistently irrational in pursuit of wealth, or pursuing more than wealth? In his December 2019 book entitled Behavioral Finance: The Second Generation, Meir Statman describes and discusses second-generation behavioral finance, which replaces...
Below is a weekly summary of our research findings for 9/28/20 through 10/2/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The conventional size (market capitalization) premium is notoriously weak since discovery almost 40 years ago. Does this poor live track record mean it is useless to investors? In their September 2020 paper entitled “Settling the...
Below is a weekly summary of our research findings for 9/21/20 through 9/25/20. 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 buy yield enhancement products (YEP), which typically offer higher-than-market yields from a package comprised of an underlying stock or equity index and a series of short put options? In the August 2020 version...
Are buy-and-hold stock market returns attractive over the long run globally? In their May 2020 paper entitled “Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets”, Aizhan Anarkulova, Scott Cederburg and...
What are typical return behaviors and firm characteristics of the best-performing and worst-performing U.S. stocks at a 10-year horizon? In his July 2020 series of papers entitled “Extreme Stock Market Performers”, Part I: Expect Some...
Below is a weekly summary of our research findings for 9/14/20 through 9/18/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do economic expectations of sophisticated investors relative to those of unsophisticated investors predict stock market returns? In the September 2020 revision of his paper entitled “Relative Sentiment and Machine Learning for Tactical Asset Allocation”, flagged...
Below is a weekly summary of our research findings for 9/8/20 through 9/11/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do mutual funds and hedge funds change their stock holdings in response to a sharp market crash? In their July 2020 paper entitled “Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from...
How do U.S. non-profit endowment funds allocate and perform? In their November 2019 paper entitled “The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds”, Andrew Lo, Egor Matveyev and Stefan Zeume examine recent asset...
Below is a weekly summary of our research findings for 8/31/20 through 9/4/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...