Below is a weekly summary of our research findings for 10/18/21 through 10/22/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 10/11/21 through 10/15/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the technically adjusted Seasonal Timing Strategy popularized some years ago in Sy Harding’s Street Smart Report Online (now unavailable due to Mr. Harding’s death) generate attractive performance? This strategy combines “the market’s best average...
A subscriber asked whether risk assets tend to struggle for about two years after low values of the ratio of corporate debt to Gross Domestic Product (GDP). To investigate, we use Non-financial Corporate Debt Securities...
Below is a weekly summary of our research findings for 10/4/21 through 10/8/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the best way to understand and anticipate variations in equity factor returns? Past research emphasizes factor return connections to business cycle variables or measures of investor sentiment (with little success). In his September...
Do equity premium predictors published in the past still work after extending their respective discovery samples through 2020? In their September 2021 paper entitled “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction...
What is the best way to conduct quantitative investment research? In his September 2021 presentation package entitled “Escaping The Sisyphean Trap: How Quants Can Achieve Their Full Potential”, Marcos Lopez de Prado outlines the optimal...
Does variation in the number of reported cases of COVID-19 predict near-term asset returns? To investigate, we look for a test acknowledging that the available sample is short and very noisy. Specifically: To suppress noise,...
Below is a weekly summary of our research findings for 9/27/21 through 10/1/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is intensity of public interest in a “bear market” useful for predicting stock market return? To investigate, we download monthly U.S. Google Trends search intensity data for “bear market” and relate this series to monthly...
A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise...
Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by...
“Margin Debt as a Stock Market Indicator” investigates whether NYSE margin debt predicts future stock market returns. Since updates to this variable are not available, we instead consider the following three aggregate monthly investment account...
Below is a weekly summary of our research findings for 9/20/21 through 9/24/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do motives of financial market researchers justify strong skepticism of their findings? In his brief August 2021 paper entitled “Be Skeptical of Asset Management Research”, Campbell Harvey argues that economic incentives undermine belief in findings...
Below is a weekly summary of our research findings for 9/13/21 through 9/17/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How frequently and permanently do individual U.S. investors sell stocks in a panic? In their August 2021 paper entitled “When Do Investors Freak Out?: Machine Learning Predictions of Panic Selling”, Daniel Elkind, Kathryn Kaminski, Andrew...
Below is a weekly summary of our research findings for 9/7/21 through 9/10/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Combining SMA10 and Sahm Indicator”, a subscriber asked for a comparison of signals generated by the Sahm Recession Indicator (Sahm) and by yield curve inversion. The former signals a recession when the...
Below is a weekly summary of our research findings for 8/30/21 through 9/3/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is Bitcoin beginning to displace gold as a U.S. dollar hedge? To investigate, we look at rolling correlations of returns for the following pairs of exchange-traded funds (ETF): Grayscale Bitcoin Trust (GBTC) and SPDR Gold...
Below is a weekly summary of our research findings for 8/23/21 through 8/27/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do credit portfolio managers adjust their portfolios more expeditiously than equity managers, thereby offering a means to time the equity market? In his August 2021 paper entitled “Credit-Informed Tactical Asset Allocation – 10 Years On”,...
A subscriber asked about a stock market timing strategy that combines the market 10-month simple moving average (SMA10) and the Sahm Recession Indicator (Sahm), which signals the start of a recession when the 3-month SMA...