Is the level, or changes in the level, of Federal Reserve (Fed) holdings of U.S. Treasuries (bills, notes, bonds and TIPS, measured weekly as of Wednesday) an indicator of future stock market and/or Treasuries returns? To investigate,...
Referring to “SACEMS Top 1 Mean Reversion?”, a subscriber asked about the performance of the equal-weighted (EW) second and third ranked Simple Asset Class ETF Momentum Strategy (SACEMS) assets both as a standalone strategy and...
Below is a weekly summary of our research findings for 10/31/22 through 11/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does combining a sentiment indicator with a trend following indicator improve performance of a stocks-bonds timing strategy? In his October 2022 paper entitled “The Complementarity of Trend Following and Relative Sentiment”, Raymond Micaletti investigates effects...
Noting that iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) and iShares 20+ Year Treasury Bond ETF (TLT) exhibit a moderately positive return correlation, a subscriber asked about substituting Vanguard High-Yield Corporate Fund Investor...
Below is a weekly summary of our research findings for 10/24/22 through 10/28/22. 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 best time of the month for measuring momentum within the Simple Asset Class ETF Momentum Strategy (SACEMS)? To investigate, we compare 21 variations of baseline SACEMS by shifting the monthly return calculation cycle...
Are days with strong stock market return reversals predictive of the future trend? To check, we we use daily opens, lows, highs and closes of the S&P 500 Index to define the following: Reversal –...
Does a constant real annual withdrawal rate of 4% of household savings at retirement, derived from U.S. asset return experience, really protect against financial ruin? In their September 2022 paper entitled “The Safe Withdrawal Rate:...
Below is a weekly summary of our research findings for 10/17/22 through 10/21/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers have questioned selecting assets with negative past returns within the “Simple Asset Class ETF Momentum Strategy” (SACEMS). Inclusion of Cash as one of the assets in the SACEMS universe of exchange-traded funds (ETF) prevents...
Below is a weekly summary of our research findings for 10/10/22 through 10/14/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are many accepted equity factors/return anomalies artifacts of the secular decline in interest rates during their discovery sample periods? In their September 2022 paper entitled “The Factor Multiverse: The Role of Interest Rates in Factor...
Do formal asset allocation methods specify a portfolio allocation to bitcoin (BTC)? In his September 2022 paper entitled “Optimal Allocation to Cryptocurrencies in Diversified Portfolios”, Artur Sepp applies four quantitative methods to estimate optimal allocations...
How does elimination of broker commissions on stock trades affect individual investors? In their September 2022 paper entitled “Fee the People: Retail Investor Behavior and Trading Commission Fees”, Omri Even-Tov, Kimberlyn George, Shimon Kogan and...
Market commentators sometimes cite a high Chicago Board Options Exchange (CBOE) Volatility Index (VIX), the options-implied volatility of the S&P 500 Index as an indicator of investor sentiment and therefore a contrarian signal for the...
Below is a weekly summary of our research findings for 10/3/22 through 10/7/22. 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 beat a 60/40 stocks/bonds portfolio via a long-only momentum strategy applied to many asset class proxies? In their September 2022 paper entitled “Long-Only Multi-Asset Momentum: Searching for Absolute Returns”, Enrique Zambrano and Carlos...
Is growing interest in environmental, social, and governance (ESG) issues among investors and asset managers materially affecting stock selection decisions and associated returns? In the September 2022 version of their paper entitled “The Economic Impact...
A subscriber asked about potential relationships between percentages of MBA graduates hired by an industry/sector and the future returns for corresponding sectors. To investigate, we look at lead-lag relationships between annual percentages of University of...
Below is a weekly summary of our research findings for 9/26/22 through 9/30/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do exchange-traded funds (ETF) that track major currencies support a relative momentum strategy? To investigate, we consider the following four ETFs: Invesco DB US Dollar Bullish (UUP) Invesco CurrencyShares Euro Currency (FXE) Invesco CurrencyShares Japanese...
Referencing Eurekahedge CTA/Managed Futures Hedge Fund Index (Eurekahedge) used as a benchmark in “Are Managed Futures ETFs Working?”, a subscriber asked about adding a managed futures fund index to the Simple Asset Class ETF Momentum...
Does coverage of stocks on Mad Money attract attention to them and affect their returns? In their August 2022 paper entitled “Does the Mad Money Show Cause Investors to Go Madly Attentive?”, Lawrence Kryzanowski and...
Below is a weekly summary of our research findings for 9/19/22 through 9/23/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...