Below is a weekly summary of our research findings for 7/22/19 through 7/26/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How lucky would a asset class picker with no skill have to be to match the performance of the Simple Asset Class Momentum Strategy (SACEMS), which each month picks winners from a set of eight exchange-traded...
Some traders use a Relative Strength Index (RSI) range to identify trend and RSI extremes to signal turning points. How long should they require that RSI remain in range, and how often should they require...
Below is a weekly summary of our research findings for 7/15/19 through 7/19/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index...
Below is a weekly summary of our research findings for 7/8/19 through 7/12/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
...evidence from simple tests on a limited data set suggests that investors using monthly simple moving averages to time the stock market should prefer (avoid) a calculation cycle anchored just after (a few days before)...
Can investors beat a typical active U.S. equity mutual fund via a small portfolio of periodically re-weighted equity exchange-traded funds (ETF)? In their February 2019 paper entitled “Are Passive Funds Really Superior Investments: An Investor...
How reliable and variable are the most widely accepted long-short factor premiums across asset classes? Can investors time factor premium? In their June 2019 paper entitled “Factor Premia and Factor Timing: A Century of Evidence”,...
Is there a common optimal set of ranking (lookback) interval, holding interval, weighting scheme and skip-month rule for long-short stock momentum strategies across European country markets? In her May 2019 paper entitled “Are Momentum Strategies...
Below is a weekly summary of our research findings for 7/1/19 through 7/5/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do sentiment indexes usefully predict U.S. stock market returns? In his May 2018 doctoral thesis entitled “Forecasting Market Direction with Sentiment Indices”, flagged by a subscriber, David Mascio tests whether the following five sentiment indexes...
Does duration (relative arrival sequence) of firm cash flows explain many widely accepted equity factor returns? In their April 2019 paper entitled “Duration-Driven Returns”, Niels Gormsen and Eben Lazarus investigate whether firm cash flow duration...
...evidence from simple tests indicates that quarterly change in productivity is of no use to investors as a standalone indicator for predicting stock market behavior.
Below is a weekly summary of our research findings for 6/24/19 through 6/28/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does stock performance vary with age (since listing), and does any such effect interact with market capitalization (size)? In their April 2019 paper entitled “Age Matters”, Danqiao Guo, Phelim Boyle, Chengguo Weng and Tony Wirjanto...
Do simple factor models help explain future return variations across different cryptocurrencies, as they do for stocks? In their April 2019 paper entitled “Common Risk Factors in Cryptocurrency”, Yukun Liu, Aleh Tsyvinski and Xi Wu...
What steps should investors consider to mitigate impact of inevitable large U.S. stock market corrections? In their May 2019 paper entitled “The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?”,...
Below is a weekly summary of our research findings for 6/17/19 through 6/21/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are Initial Coin Offerings (ICO), also called token sales or token offerings, typically good investments? ICOs are smart contracts on a blockchain (usually Ethereum) that enable firms to raise money directly from investors. The median...
Below is a weekly summary of our research findings for 6/10/19 through 6/14/19. 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 straightforward way to model the returns on U.S. Corporate bond indexes? In his April 2019 paper entitled “Give Credit Where Credit is Due: What Explains Corporate Bond Returns?”, Roni Israelov models returns...
Considering taxes, in what order should U.S. retirees consume different sources of retirement savings/income? In their August 2018 paper entitled “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts”,...
Below is a weekly summary of our research findings for 6/3/19 through 6/7/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do all kinds of assets and long-short equity factor premiums exhibit exploitable time series (intrinsic or absolute momentum)? In their September 2018 paper entitled “Trends Everywhere”, Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Pedersen...