A subscriber suggested that the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful U.S. stock market predictor. NFCI “provides a comprehensive weekly update on U.S. financial conditions in money markets, debt...
Are there equity styles that tend to perform relatively well during and after stock market crashes? In their April 2020 paper entitled “Equity Styles and the Spanish Flu”, Guido Baltussen and Pim van Vliet examine...
Below is a weekly summary of our research findings for 5/11/20 through 5/15/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How should investors think about combining strategies into a broader portfolio that reliably exploits their interactions over time? In the March 2020 version of his paper entitled “Preferred Portfolios: An Improved Blueprint to Construct Multi...
How should investors think about maximum drawdown (MaxDD) as a portfolio/strategy performance metric? In their April 2020 paper entitled “Drawdowns”, Otto Van Hemert, Mark Ganz, Campbell Harvey, Sandy Rattray, Eva Martin and Darrel Yawitch examine...
Below is a weekly summary of our research findings for 5/3/20 through 5/8/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do anomaly portfolios that are long (short) the tenth, or decile, of stocks with the highest (lowest) expected value-weighted returns based on some firm accounting variable or stock behavior really work on a net basis?...
Why do recent studies find that the value premium declines over time? In their April 2020 paper entitled “The Fundamental-to-Market Ratio and the Value Premium Decline”, Andrei Gonçalves and Gregory Leonard investigate whether book value...
Below is a weekly summary of our research findings for 4/27/20 through 5/1/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does a decade of underperformance by some widely followed stock value strategies mean it is time to throw in the towel? In their March 2020 paper entitled “Is (Systematic) Value Investing Dead?”, Ronen Israel, Kristoffer...
Below is a weekly summary of our research findings for 4/20/20 through 4/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Robo-advisors provide investors automated financial advice with varying levels of sophistication and degrees of individual tailoring. In their December 2019 book chapter entitled “Robo-advising”, Francesco D’Acunto and Alberto Rossi catalog the main features of robo-advising...
Does shorting the iPath S&P 500 VIX Short-Term Futures ETN (VXX) with crash protection (attempting to capture the equity volatility risk premium safely) work? To investigate, we apply crash protection rules to three VXX shorting scenarios:...
A subscriber requested testing Martin Zweig’s Combined Super Model, which each month specifies an equity allocation based on a system that assigns up to eight points from his Monetary Model and 0 or 2 points...
Below is a weekly summary of our research findings for 4/13/20 through 4/17/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are equity factors used in leading models of stock returns reliable performers in practice? In his March 2020 paper entitled “Factor Performance 2010-2019: A Lost Decade?”, David Blitz measures performances of factors tracked in the...
Low-risk investment strategies buy or overweight low-risk assets and sell or underweight high-risk assets. Growth in low-risk investing is stimulating much pro and con debate in the financial community. Which assertions are valid, and which...
How can investors account for inflation expectations in estimating attractiveness of equities? In their March 2020 article entitled “The Equity Risk Premium: A Novel Perspective on the Past Fifty Years”, James White and Victor Haghani...
“Verification Tests of the Smart Money Indicator” performs tests of ideas and setup features described in “Smart Money Indicator for Stocks vs. Bonds”. The Smart Money Indicator (SMI) is a complicated variable that exploits differences...
Below is a weekly summary of our research findings for 4/6/20 through 4/9/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Findings in “Add Stop-gain to Asset Class Momentum Strategy?” suggest that systematic capture of upside volatility may enhance the base strategy. Does this conclusion hold for a simpler application to a single liquid asset over...
What does the U.S. stock market at industry/firm levels say about investor expectations during and after the 2019 coronavirus (COVID-19) pandemic? In the April 2020 update of their paper entitled “Feverish Stock Price Reactions to...
Below is a weekly summary of our research findings for 3/30/20 through 4/3/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stock anomaly (factor premium) portfolios exhibit exploitable value and momentum? In their February 2020 paper entitled “Value and Momentum in Anomalies”, Deniz Anginer, Sugata Ray, Nejat Seyhun and Luqi Xu investigate exploitability of time...
Economic data arrive too slowly to help investors navigate crises such as the 2019 coronavirus (COVID-19) outbreak. Are there data that support quick reactions? In their March 2020 paper entitled “Coronavirus: Impact on Stock Prices...