Below is a weekly summary of our research findings for 5/24/21 through 5/28/21. 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 inquired whether a longer test of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) is feasible using mutual funds rather than exchange-traded funds (ETF) as asset class proxies. To investigate, we consider the following set of mutual...
Below is a weekly summary of our research findings for 5/17/21 through 5/21/21. 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 recency effect evident for U.S. stock returns carry over to stocks globally? In their May 2021 paper entitled “Chronological Return Ordering and the Cross-Section of International Stock Returns”, Nusret Cakici and Adam Zaremba...
Do naive investors overvalue (undervalue) stocks with relatively high (low) recent returns, thereby causing exploitable overpricing (underpricing)? In the April 2019 version of his paper entitled “The Impact of Recency Effects on Stock Market Prices”,...
Below is a weekly summary of our research findings for 5/10/21 through 5/14/21. 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 conventional wisdom to “Sell in May” (and “Buy in November”, hence also the term “Halloween Effect”) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check,...
Is buy-the-dip (BTD) a reliably attractive stock market timing approach? In their April 2021 paper entitled “Buy the Dip”, Thomas Shohfi and Majeed Simaan devise and test various BTD strategies as applied to SPDR S&P...
How can retirees estimate whether their investment strategy will sustain all the withdrawals they expect to make in retirement? In his February 2021 paper entitled “The Sustainability of (Global) Withdrawal Strategies”, Javier Estrada presents two...
Below is a weekly summary of our research findings for 5/3/21 through 5/7/21. 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 suggested review of the “SPY-TLT Universal Investment Strategy”, which each day allocates 100% of funds to SPDR S&P 500 (SPY) and/or iShares 20+ Year Treasury Bond (TLT) with SPY-TLT allocations equal to that...
In the preface to the 2021 edition of his book, The Gone Fishin’ Portfolio: Get Wise, Get Wealthy…and Get on With Your Life, Alexander Green sets the following goal: “[S]how readers the safest, simplest way...
Below is a weekly summary of our research findings for 4/26/21 through 4/30/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors consider adding Special Purpose Acquisition Company (SPAC) Initial Public Offerings (IPO), which boomed in 2020, to their portfolios? In the March 2021 revision of their paper entitled “SPACs”, Minmo Gahng, Jay Ritter and...
Should investors buy stocks of companies for which analysts have issued very high earnings growth forecasts? In the March 2021 revision of their paper entitled “Diagnostic Expectations and Stock Returns”, flagged by a subscriber, Pedro...
A subscriber asked about the effect of trading frictions on Simple Asset Class ETF Momentum Strategy (SACEMS) performance across potential momentum measurement (lookback) intervals, assuming 0.1% one-way frictions for buying and selling exchange-traded funds (ETF)....
Below is a weekly summary of our research findings for 4/19/21 through 4/23/21. 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 suggested the Kansas City Financial Stress Index (KCFSI) as a potential U.S. stock market return predictor. This index “is a monthly measure of stress in the U.S. financial system based on 11 financial...
...evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future...
Below is a weekly summary of our research findings for 4/12/21 through 4/16/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do published stock factors exhibit performance streaks exploitable via intrinsic (absolute, or time series) and relative (cross-sectional) momentum? In the March 2021 revision of their paper entitled “Factor Momentum and the Momentum Factor”, Sina Ehsani...
What is the latest evidence on attractiveness of selling covered calls or buying protective puts on the U.S. stock market? In his February 2021 paper entitled “Revisiting Covered Calls and Protective Puts: A Tale of...
What asset classes offer the best performance during episodes of high and rising inflation? In their March 2021 paper entitled “The Best Strategies for Inflationary Times”, Henry Neville, Teun Draaisma, Ben Funnell, Campbell Harvey and...
How should financial advisers and investors approach retirement income planning? In their January 2021 paper entitled “A Model Approach to Selecting a Personalized Retirement Income Strategy”, Alejandro Murguia and Wade Pfau design and validate a...
Below is a weekly summary of our research findings for 4/5/21 through 4/9/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...