Should investors dismiss short-term signals as unexploitable due to high trading frictions? In their May 2022 paper entitled “Beyond Fama-French Factors: Alpha from Short-Term Signals”, David Blitz, Matthias Hanauer, Iman Honarvar, Rob Huisman and Pim...
Below is a weekly summary of our research findings for 6/6/22 through 6/10/22. 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 asked whether the U.S. dollar is a safe haven from the U.S. stock market. One way to address the question is to repeat the tests used in “Best Safe Haven ETF?” on Invesco...
Is the government debt-to-Gross Domestic Product (GDP) ratio a useful predictor of stock and bond market returns? In his May 2021 paper entitled “Government Debt and Risk Premia”, Yang Liu examines relationships between future stock...
In response to Very Simple Asset Class ETF Momentum Strategy (VSACEMS), a subscriber requested evaluation of an alternative VSACEMS that considers only the following three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+...
Below is a weekly summary of our research findings for 5/31/22 through 6/3/22. 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 suggested review of a Follow the Leader (FTL) strategy that, in simplest form, each month holds iShares MSCI Emerging Markets ETF (EEM) when prior-month SPDR S&P 500 ETF Trust (SPY) return is positive...
What happens after the stock market has a streak of up or down weeks? To check, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and calculate average weekly...
Can investors beat the market by exploiting preannounced (anti-value) changes to traditional capitalization-weighted indexes, generally comprised of additions with recent strong performance and deletions with recent weak performance? In their May 2022 paper entitled “The...
Below is a weekly summary of our research findings for 5/23/22 through 5/27/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do incentives distort research on financial markets, and how do incentivized researchers introduce the distortions? In his April 2022 paper entitled “The Pitfalls of Asset Management Research”, Campbell Harvey explores how economic incentives affect...
Should investors expect materially different returns for stocks accepted or excluded by institutional investors based on firm environmental, social and corporate governance (ESG) policies and practices? In their April 2022 paper entitled “The Expected Returns...
A subscriber asked which exchange-traded fund (ETF) asset class proxies make the best safe havens for the U.S. stock market as proxied by the S&P 500 Index. To investigate, we test 15 ETFs/funds as potential...
Below is a weekly summary of our research findings for 5/16/22 through 5/20/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the Buffett Indicator, the ratio of total stock market capitalization to Gross Domestic Product (GDP), a useful indicator of future stock market performance internationally? In their March 2022 paper entitled “The Buffett Indicator: International Evidence”,...
Do intraday (open-to-close, trading-driven/technical) and overnight (close-to-open, news-driven) stock returns play different roles in signaling short-term reversal, intermediate-term momentum and long-term reversion? In their March 2022 paper entitled “What Drives Momentum and Reversal? Evidence from...
Below is a weekly summary of our research findings for 5/9/22 through 5/13/22. 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 proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds...
Are there short-term patterns in bitcoin returns? In their April 2022 paper entitled “Seasonality, Trend-following, and Mean Reversion in Bitcoin”, Matus Padysak and Radovan Vojtko explore short-term bitcoin return behaviors. They look at: Daily patterns...
Can investors improve the performance of stock momentum portfolios by isolating stocks that “hold” their momentum? In their April 2022 paper entitled “Enduring Momentum”, Hui Zeng, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti exploit firm...
In response to “Best Equity Risk Premium”, a subscriber asked whether the annual equity risk premium estimates of Aswath Damodaran predict stock market returns one year ahead. The cited source offers two 61-year series of...
Do simple stock index option strategies (stock-covered calls, cash-covered puts and collars) outperform the underlying index? To investigate, we examine performances of: CBOE S&P 500 BuyWrite Index (BXM),CBOE S&P 500 PutWrite Index (PUT) and CBOE...
Below is a weekly summary of our research findings for 5/2/22 through 5/6/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader requested evaluation of the Fosback Index and its Ned Davis variant. The creators of these indicators argue that a high (low) ratio of cash equivalents to assets among equity mutual funds indicates strong (weak) potential...
Does the finding from long-short factor analysis that the value premium is stronger among small stocks than large stocks hold for long-only value portfolios? In his April 2022 paper entitled “Long-Only Value Investing: Does Size...