Below is a weekly summary of our research findings for 12/13/21 through 12/17/21. 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 about a strategy that rotates among equity sectors according to changes in interests rate as set by Federal Reserve Bank monetary policy. To investigate, we consider the following nine sector Standard &...
A subscriber asked about a strategy that rotates among equity sectors according to the Leading Economic Index (LEI), published monthly by the Conference Board (see “Leading Economic Index and the Stock Market”). To assess LEI...
Below is a weekly summary of our research findings for 12/6/21 through 12/10/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do widely accepted equity factor premiums exist in data older than generally employed in academic studies? In their November 2021 paper entitled “The Cross-Section of Stock Returns before 1926 (And Beyond)”, Guido Baltussen, Bart van...
Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior. How much do the corresponding monthly behaviors of the various size and...
Do the choices researchers make in modeling, sample grooming and programming to test hypotheses materially affect their findings? In their November 2021 paper entitled “Non-Standard Errors”, 164 research teams and 34 peer reviewers representative of...
Below is a weekly summary of our research findings for 11/29/21 through 12/3/21. 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 conventional way of estimating the equity risk premium based on total shareholder return (TSR, assuming reinvestment of all dividends into stocks) reasonable? In their November 2021 paper entitled “Stock Investors’ Returns are Exaggerated”,...
Below is a weekly summary of our research findings for 11/22/21 through 11/26/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do U.S. non-farm job openings, a measurement from the Job Openings and Labor Turnover Survey run monthly by the U.S. Bureau of Labor Statistics, have implications for future U.S. stock market return? High (low) job...
Do quarterly allocation updates for the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) work as well as monthly updates? These strategies allocate funds to the following asset class exchange-traded funds (ETF)...
Below is a weekly summary of our research findings for 11/15/21 through 11/19/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can machine learning usefully inform daily crypto-asset trading? In their August 2021 paper entitled “Boosting Cryptocurrency Return Prediction”, Ilias Filippou, David Rapach and Christoffer Thimsen apply the XGBoost algorithm to decision trees to generate next-day...
Does actual performance support the view that university endowments are exemplary stewards of multi-asset class portfolios? In his November 2021 paper entitled “The Modern Endowment Story: A Ubiquitous U.S. Equity Risk Premium”, Richard Ennis re-examines...
Does over $1 trillion in crypto-assets (having no fundamental value and paying no interest, but trading freely) now held by Americans represent new wealth? In his brief June 2021 paper entitled “Bubble Wealth”, Bradford Cornell...
Are there plausible ways to forecast the price of bitcoin? In their March 2021 paper entitled “Bitcoin Price Forecast Using Quantitative Models”, Daniele Bernardi and Ruggero Bertelli examine fundamental bitcoin value from four perspectives: Stock-to-Flow...
The monthly Cass Freight Index is a “measure of North American freight volumes [shipments] and expenditures… Data within the Index includes all domestic freight modes and is derived from $28 billion in freight transactions processed by...
Below is a weekly summary of our research findings for 11/8/21 through 11/12/21. 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 about performance of Simple Asset Class ETF Momentum Strategy (SACEMS) hedge portfolios, which each month buy the asset class exchange-traded funds (ETF) in the SACEMS universe with the highest past returns and...
Below is a weekly summary of our research findings for 11/1/21 through 11/5/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does past performance of Environmental, Social, and Corporate Governance (ESG) stocks derive mostly from shift in demand from other stocks to ESG stocks? In his September 2021 paper entitled “Flow-Driven ESG Returns”, Philippe van der...
Does the U.S. employment quit rate, a measurement from the Job Openings and Labor Turnover Survey run monthly by the U.S. Bureau of Labor Statistics, have implications for future U.S. stock market or U.S. Treasury...
What returns should investors expect from Non-fungible Tokens (NFT) as an alternative asset class? In the October 2021 revision of their paper entitled “Alternative Investments in the Fintech Era: The Risk and Return of Non-fungible...
Below is a weekly summary of our research findings for 10/25/21 through 10/29/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...