A subscriber requested review of the Golden Butterfly (GB) portfolio, which assigns equal weights to the total stock market, small-capitalization value stocks, long-term government bonds, short-term government bonds and gold. To investigate, we use the...
Below is a weekly summary of our research findings for 1/30/23 through 2/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors presume that, in the absence of falsifiable theories, the body of factor investing research is largely spurious? In the January 2023 version of his paper entitled “Causal Factor Investing: Can Factor Investing Become...
Referring to “Asset Class Momentum Faster During Bear Markets?”, a subscriber asked about performance of a modification of the equal-weighted top three (EW Top 3) version of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)...
Below is a weekly summary of our research findings for 1/23/23 through 1/27/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Given that finance is ultimately tied to human emotions, does the body of research support belief that abilities of machine learning to handle large amounts of data, non-linearities and variable interactions will revolutionize investing? In...
How would currently popular asset allocation strategies have performed back to the end of 1925? In their January 2023 paper entitled “A Century of Asset Allocation Crash Risk”, Mikhail Samonov and Nonna Sorokina test the...
Below is a weekly summary of our research findings for 1/17/23 through 1/20/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are non-fungible tokens (NFT) viable and attractive as an investment class? In their December 2022 paper entitled “Non-Fungible Tokens (NFTs) as an Investment Class”, Mieszko Mazur and Efstathios Polyzos provide an overview of NFT investing....
Is there an optimal net (incorporating trading frictions) trend-following strategy for broad stock portfolios? In their November 2022 paper entitled “Optimal Trend-Following With Transaction Costs”, Valeriy Zakamulin and Javier Giner develop and test a simple...
Below is a weekly summary of our research findings for 1/9/23 through 1/13/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors make the stock return momentum effect stronger/more reliable by isolating stocks for which many similar stocks exhibit very strong or very weak past returns? In his December 2022 paper entitled “Neighbouring Assets”, Sina...
If a published theory is correct, its empirical results should hold for years after original test samples end. Are peer-reviewed, theory-supported (risk-based) academic studies of stock return predictors thereby superior to other streams of predictor...
Do stocks with high exposures to new technologies outperform? In her December 2022 paper entitled “New Technologies and Stock Returns”, Jinyoung Kim examines future returns of stocks with relatively high exposures to new technologies as...
A subscriber requested confirmation that a strategy of holding SPDR S&P 500 ETF Trust (SPY) at all times except options expiration week beats holding SPY all the time. To investigate, we look at holding SPY...
What is the critical success factor for experienced traders? In their December 2022 paper entitled “Strategic Sophistication and Trading Profits: An Experiment with Professional Traders”, Marco Angrisani, Marco Cipriani and Antonio Guarino compare results from...
Below is a weekly summary of our research findings for 1/3/23 through 1/6/23. 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, and perhaps exploit, asset return volatility? In his December 2022 paper entitled “A Stylized History of Volatility”, Emanuel Derman reviews how generations of financial modelers have quantified volatility and ultimately...
A subscriber asked about the performance of a strategy that each month allocates funds to pairs of exchange-traded fund (ETF) asset class proxies according to the term spread, as measured by the difference in yields...
Do the widely used U.S. stock return factors exhibit long-term trend changes and shorter-term cyclic behaviors? In his November 2022 paper entitled “Trends and Cycles of Style Factors in the 20th and 21st Centuries”, Andrew...
Below is a weekly summary of our research findings for 12/27/22 through 12/30/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stocks that are winners or losers over multiple lookback intervals generate stronger future returns because they attract wider audiences of momentum investors? In their June 2022 paper entitled “Overlapping Momentum Portfolios”, Iván Blanco, Miguel...
Below is a weekly summary of our research findings for 12/19/22 through 12/23/22. 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 requested evaluation of a strategy that seeks to exploit U.S stock market reversion after dips by temporarily applying margin. Specifically, the strategy: At all times holds the U.S. stock market. When the stock...
In response to a prior analysis (updated here), a subscriber asked whether adding a simple moving average (SMA) filter to “Simple Asset Class ETF Momentum Strategy” (SACEMS) assets, either before or after ranking them based...