Does the difference in individual stock/market return relationships between good times (relatively low correlations) and bad times (relatively high correlations) present an easy and efficient way to hedge against stock market crashes (tail risk)? In...
A subscriber asked about boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), by substituting ProShares...
A subscriber proposed using Minervini Trend Template criteria to time broad U.S. stock market proxies such as SPDR S&P 500 ETF Trust (SPY). Specifically, use leveraged versions of SPY when SPY meets the following seven...
Do good firm environmental, social and governance (ESG) ratings signal attractive stock returns? If so, what is the best way to exploit the signals? In their February 2023 paper entitled “Quantifying the Returns of ESG...
Below is a weekly summary of our research findings for 3/13/23 through 3/17/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper...
Can machine learning perfect equity sector rotation? In the January 2023 version of their paper entitled “Deep Sector Rotation Swing Trading”, flagged by a subscriber, Joel Bock and Akhilesh Maewal present a sector rotation strategy...
Below is a weekly summary of our research findings for 3/6/23 through 3/10/23. 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 way to restore/enhance the relevance to investors of the Fed model, which is based on a putative investor-driven positive relationship between stock market earnings yield (equity earnings-to-price ratio) and U.S. Treasury bond...
Can investors use volatility signals to identify short-term stock market trend changes? In his February 2023 paper entitled “Using Volatility to Add Alpha and Control Portfolio Risk”, John Rothe uses Welles Wilder’s Average True Range...
Below is a weekly summary of our research findings for 2/27/23 through 3/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Weekly Economic Index (WEI) is a composite of weekly year-over-year percentage changes in 10 economic indicators: Redbook same-store sales; Rasmussen Consumer Index; new claims for unemployment insurance; continued claims for unemployment insurance; adjusted income/employment...
Below is a weekly summary of our research findings for 2/21/23 through 2/24/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do factor investing (smart beta) mutual funds capture for investors the premiums found in academic factor research? In their November 2022 paper entitled “Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance”, Martijn Cremers,...
Is portfolio downside risk better manageable by combining drawdown and recovery into a single “submergence” metric? In their February 2023 paper entitled “Submergence = Drawdown Plus Recovery”, Dane Rook, Dan Golosovker and Ashby Monk present...
Can investors achieve attractive asset class momentum strategy performance by applying mixed-lookback interval momentum to different risk-on (offensive) and risk-off (defensive) sets of exchange-traded funds (ETF), and to a separate risk mode identification ETF? In...
Below is a weekly summary of our research findings for 2/13/23 through 2/17/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there different patterns of short-term stock return reversal based on stock liquidity (measured by size, volatility or turnover)? In their January 2023 paper entitled “Reversals and the Returns to Liquidity Provision”, Wei Dai, Mamdouh...
What is the best short-term reversal indicator for equity exchange-traded funds (ETF)? In his January 2023 paper entitled “A Comparison of Short-Term Mean-Reversion Indicators for Global Equities”, Raymond Micaletti tests several short-term mean reversion indicators...
How can researchers assess the true value and robustness of new stock return anomalies (predictors) in consideration for addition to the factor zoo? In their January 2023 paper entitled “Assaying Anomalies”, Robert Novy-Marx and Mihail...
Below is a weekly summary of our research findings for 2/6/23 through 2/10/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is put-spread collar strategy performance sensitive to the portfolio rebalancing schedule (due to rebalance timing luck). In their January 2023 paper entitled “The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck”, Steven Braun, Corey...
Does aggregate insider stock buying and selling offer clues about future stock market returns? In their January 2023 paper entitled “Aggregate Insider Trading in the S&P 500 and the Predictability of International Equity Premia”, Andre...
A subscriber suggested an update of “GMO’s Stunningly Accurate Forecast?” with out-of-sample testing of GMO forecasts. To investigate, we test GMO’s 7-Year asset class real return forecasts of December 31, 2010, July 31, 2013, June...
Can investors exploit information about business credit tightening/loosening as reported since 1990 in the Federal Reserve’s quarterly Senior Loan Officer Survey to time the U.S. stock market? In the January 2023 draft of his paper...