“SACEMS with Momentum Breadth Crash Protection” evaluates in depth the potential of a simple momentum breadth rule to improve performance of the Simple Asset Class ETF Momentum Strategy (SACEMS). This rule forces the model to...
How are behaviors of physically backed gold and gold miner exchange-traded funds (ETF) similar and different? To investigate we consider each of VanExk Vectors Gold Miners (GDX) and VanEck Vectors Junior Gold Miners (GDXJ) versus SPDR...
Some experts argue that high (low) gasoline prices mean that consumers must allocate more (less) spending power to fuel, and therefore less (more) to other industries and stocks. Do data support this argument? To check, we relate...
Below is a weekly summary of our research findings for 3/14/22 through 3/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the overnight return effect found pervasively among equity markets, as summarized in “Persistence of Overnight/Intraday Equity Market Return Patterns”, also hold for other asset classes? To investigate, we compare open-to-close (O-C) and close-to-open (C-O)...
With reference to “Turn-of-the-Month Effect Persistence and Robustness” and “Persistence of Overnight/Intraday Equity Market Return Patterns”, a subscriber asked about a strategy that is long SPDR S&P 500 ETF Trust (SPY) only from market close...
A subscriber asked which asset (short stocks, cash, bonds by subclass) is best to hold during equity bear markets. To investigate, we consider two ways to define a bear market: (1) months when SPDR S&P...
...long-run data offers stronger evidence for a stock market model based on the real earnings yield than for a model that compares the earnings yield to the long-term bond yield. It also suggests: (1) a...
A subscriber proposed adding Utilities Select Sector SPDR Fund (XLU) to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe based on the relatively low correlation of XLU with the broad U.S. stock market....
Below is a weekly summary of our research findings for 3/7/22 through 3/11/22. 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 traders should enter a position in gold, as proxied by SPDR Gold Shares (GLD), whenever Commercial gold futures traders are net long and Non-commercial gold future traders (Speculators) are net short....
Investors arguably expect that investments generate returns in excess of the inflation rate. Do different measures of the inflation rate indicate materially different yield discounts? To investigate, we relate 12-month trailing S&P 500 annual operating...
Are firms offering products and services purported to mitigate climate change compelling investments? In the February 2022 revision of their paper entitled “Climate Solutions Investments”, Alexander Cheema-Fox, George Serafeim and Hui Wang analyze international reports,...
Below is a weekly summary of our research findings for 2/28/22 through 3/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Why do the alphas generated by historical simulations/backtests disappear in live trading, with asset managers and brokers the only winners via fees and commissions. In their February 2022 paper entitled “Where’s the Beef?”, Robert Arnott,...
What best explains the decades-long pattern of strong overnight and weak intraday returns in most equity markets? In his January 2022 paper entitled “They Still Haven’t Told You”, Bruce Knuteson reviews possible explanations for this...
A subscriber asked whether the optimal momentum ranking (lookback) interval for the “Simple Asset Class ETF Momentum Strategy” (SACEMS) shrinks during bear markets for U.S. stocks. To investigate, we compare SACEMS monthly performance statistics when...
Below is a weekly summary of our research findings for 2/22/22 through 2/25/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
...evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future...
What is the overall best way to weight stock portfolios? In their February 2022 paper entitled “Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios”, Wei Dai, Namiko Saito and Gigi Wang...
Below is a weekly summary of our research findings for 2/14/22 through 2/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Using quarterly data in their April 2013 paper entitled “Analyzing Federal Reserve Asset Purchases: From Whom Does the Fed Buy?” Seth Carpenter, Selva Demiralp, Jane Ihrig and Elizabeth Klee find that some categories of investors...
Below is a weekly summary of our research findings for 2/7/22 through 2/11/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What happens after extreme up days or extreme down days for the U.S. stock market? To investigate, we define extreme up or down days as those with daily returns at least X standard deviations above...
Do stocks of firms focused on luxury goods outperform those of more prosaic companies? In his June 2019 paper entitled “Demand-Driven Risk and the Cross-Section of Expected Returns”, Alejandro Lopez-Lira examines aggregate performance of firms...