Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled “A Look Under the Hood of Momentum Funds”, Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock...
Below is a weekly summary of our research findings for 4/25/22 through 4/29/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The “Simple Asset Class ETF Value Strategy” (SACEVS) allocates across 3-month Treasury bills (Cash, or T-bill), iShares 20+ Year Treasury Bond (TLT), iShares iBoxx $ Investment Grade Corporate Bond (LQD) and SPDR S&P 500 (SPY) according to the relative valuations...
A subscriber, citing an assertion (without explanation) from an interview with a hedge fund manager, asked for confirmation that negative real yields on U.S. Treasury instruments predict poor returns for emerging market equities. To investigate,...
How should investors think about surprises in economic data? In their March 2022 paper entitled “Caught by Surprise: How Markets Respond to Macroeconomic News”, Guido Baltussen and Amar Soebhag devise and investigate a real-time aggregate...
Below is a weekly summary of our research findings for 4/18/22 through 4/22/22. 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 hypothesized that keeping old underwear is an early indicator of personal income at risk. Trends in underwear, as proxied by Hanesbrands Inc. (HBI), may therefore be a leading indicator of trends in the...
Has the quick reaction of exchange-traded funds (ETF) to marketwide news made the stocks they hold more efficient than other stocks, thereby suppressing the strength of anomalies in stocks held? In their March 2022 paper...
Should investors consider allocations to bitcoin (BTC) in their investment portfolios? In their February 2022 paper entitled “Asset Allocation with Crypto: Application of Preferences for Positive Skewness”, Andrew Ang, Tom Morris and Raffaele Savi investigate...
A subscriber asked whether it works to buy natural gas before big winter storms. To investigate, we look at the interactions between a sample of major winter storms in the U.S. northeast (NE) and contemporaneous...
Below is a weekly summary of our research findings for 4/11/22 through 4/14/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do popular capitalization-based exchange-traded funds (ETF) offer a reliable way to exploit an equity size effect? To investigate, we look at the difference in returns (small minus big) between: iShares Russell 2000 Index (Smallcap) Index...
Below is a weekly summary of our research findings for 4/4/22 through 4/8/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Each month, the Census Bureau announces and the financial media report U.S. housing starts as a potential indicator of future U.S. stock market returns. Release date is about two weeks after the month being reported. New...
Each month, the Census Bureau announces and the financial media report U.S. new home sales as a potential indicator of future U.S. stock market returns. Release date is about three weeks after the month being...
“Return-based Analysis of Demographics as Stock Market Predictor”, building on formal research summarized in “Demographic Headwind for U.S. Stock Market?” and “Classic Research: Demography and the Stock Market”, looks at interactions between U.S. age demographics...
What are the return behaviors of non-fungible tokens (NFT), which employ blockchain technology to convey ownership of unique digital or physical items? In their March 2022 paper entitled “The Economics of Non-Fungible Tokens”, Nicola Borri,...
Below is a weekly summary of our research findings for 3/28/22 through 4/1/22. 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 comparing intrinsic momentum (IM), also called absolute momentum and time series momentum, to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate across a wide variety...
Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To...
Does the U.S. stock market reliably exhibit extreme behavior on days (mid-afternoon) when the Federal Open Market Committee (FOMC) of the Federal Reserve Board issues its meeting minutes? Might the minutes be systematically encouraging, discouraging,...
Are there anomalies for U.S. stock market returns around equity option expiration (OE) days (normally the third Friday of each month, but the preceding Thursday when the market is closed on the third Friday)? To...
Below is a weekly summary of our research findings for 3/21/22 through 3/25/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How should the variability of stock market returns shape the outlooks of short-term traders and long-term investors? How strong is the tailwind of the general drift upward in stock prices? How powerful is the turbulence...
Which of the explanations offered in past research best explains, and potentially justifies belief in persistence of, stock return momentum? In the February 2022 revision of their paper entitled “What Explains Momentum? A Perspective From...