Do linear factor model specification choices inherently produce out-of-sample underperformance of investment strategies seeking to exploit factor premiums? In their January 2024 paper entitled “Why Has Factor Investing Failed?: The Role of Specification Errors”, Marcos...
Do Federal Funds Rate (FFR) actions taken by the Federal Reserve open market operations committee reliably predict stock market and U.S. Treasuries yield reactions? To investigate, we use the S&P 500 Index (SP500) as a...
A subscriber asked whether more granularity in international equity choices for the “Simple Asset Class ETF Momentum Strategy” (SACEMS), such as considered by Decision Moose, would improve performance. To investigate, we augment/replace international developed and emerging equity...
Does publication of academic studies on stock return anomalies in the U.S. tend to extinguish these anomalies in global markets? In their November 2023 paper entitled “Does U.S. Academic Research Destroy the Predictability of Global...
Below is a weekly summary of our research findings for 1/22/24 through 1/26/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How might Large Language Models (LLM), trained to understand, generate and interact with human language via billions or trillions of tuned parameters, impact accounting and finance? In their December 2023 paper entitled “A Scoping Review...
“Turn-of-the-Month Effect Persistence and Robustness” indicates that average absolute returns during the turn-of-the-month (TOTM) are strong for both bull and bear markets. Does a strategy of capturing all bull market returns and TOTM returns only...
Is the Turn-of-the-Month (TOTM) effect, a concentration of relatively strong stock market returns around the turns of calendar months, persistent over time and robust to different market conditions. Does it exist for all calendar months?...
Below is a weekly summary of our research findings for 1/16/24 through 1/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? To investigate, we consider two views of...
Below is a weekly summary of our research findings for 1/8/24 through 1/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 1/2/24 through 1/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Academic studies of stock portfolio optimization often use an equal-weighted (EW) strategy as benchmark. Are there simple EW enhancements that researchers ought to consider instead? In their December 2023 paper entitled “Outperforming Equal Weighting”, Antonello...
“Distance Between Fast and Slow Price SMAs and Stock Returns” finds that extreme distance between a 21-trading day simple moving average (SMA) and 200-trading day SMA, as applied to individual U.S. stock price series, may...
Below is a weekly summary of our research findings for 12/26/23 through 12/29/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In their 2023 book, The Missing Billionaires: A Guide to Better Financial Decisions, authors Victor Haghani and James White seek “to give you a practical framework, consistent with the consensus of university finance textbooks, for...
Does degree of difference between fast and slow simple moving averages (SMA) for a stock price series predict future stock return? In the December 2023 revision of their paper entitled “Moving Average Distance as a...
Are return reversals especially strong for lottery stocks? In their October 2023 paper entitled “Maxing Out Short-term Reversals in Weekly Stock Returns”, Chen Chen, Andrew Cohen, Qiqi Liang and Licheng Sun investigate return reversals for...
Below is a weekly summary of our research findings for 12/18/23 through 12/22/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
At the suggestion of one of his subscribers, Willi Bambach requested independent review of his 1g QMP [Quantified Market Psychology] strategy, tracked since December 2007 on TimerTrac. To facilitate a review, he provided a brief...
Are Zero-Days-to-Expiration (0DTE) options attractive trading vehicles? In his November 2023 paper entitled “0DTE Trading Rules”, Grigory Vilkov surveys outcomes for popular strategies that each day take unhedged positions in cash-settled 0DTE options on the...
Does market volatility predictably affect returns to simple moving average (SMA) trend-following strategies? In their November 2023 paper entitled “Market Volatility and the Trend Factor”, Ming Gu, Minxing Sun, Zhitao Xiong and Weike Xu investigate...
Below is a weekly summary of our research findings for 12/11/23 through 12/15/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What trading experience makes individual day traders quit trading? In their November 2023 paper entitled “Why Do Individuals Keep Trading and Losing?”. Fernando Chague, Bruno Giovannetti, Bernardo Guimaraes and Bernardo Maciel study the life cycle...
Should investors focus on global equity factors or local (country) equity factors when trying to predict their local market returns? In their November 2023 paper entitled “How Global is Predictability? The Power of Financial Transfer...