Leading index providers have introduced thematic stock indexes to address transformative macroeconomic, geopolitical or technological trends (for example, cybersecurity, robotics, autonomous vehicles and clean power). How do these indexes relate to standard asset pricing models?...
A subscriber requested review of a swing trade strategy that buys and sells Invesco QQQ Trust (QQQ) according to the following rules: Buy at the close when it is either Monday or Tuesday and QQQ...
Below is a weekly summary of our research findings for 8/16/21 through 8/20/21. 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 WisdomTree approach to exchange-traded fund (ETF) cost efficiency and performance potential (Modern Alpha) attractive? To investigate, we compare performance statistics of six WisdomTree ETFs, all currently available, to those of “easy substitute” (widely...
How well do derivatives traders perform, and why? In the July 2021 version of their paper entitled “Derivatives Leverage is a Double-Edged Sword”, Avanidhar Subrahmanyam, Ke Tang, Jingyuan Wang and Xuewei Yang study the performance...
Below is a weekly summary of our research findings for 8/9/21 through 8/13/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should practitioners and academics doing research on financial markets be especially careful (compared to researchers in other fields) when employing statistical inference. In the July 2021 version of their paper entitled “Finance is Not Excused:...
Is it possible to isolate environmental, social and governance characteristics (ESG) effects on stock returns from those of other stock characteristics? In their July 2021 paper entitled “Chasing The ESG Factor”, Abraham Lioui and Andrea...
When a public pension fund reports beating its benchmark, does that signify a job well done? In his July 2021 paper entitled “Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States:...
Below is a weekly summary of our research findings for 8/2/21 through 8/6/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The National Bank Act of 1863 created a national currency backed by U.S. Treasury bonds and curtailed the era of Free Banking (wildcat private currencies), which resembles the current environment of stablecoins (such as Tether...
In reaction to “Testing the EFA-SPY-TLT-PBBBX EW Strategy”, a subscriber asked about the performance of a strategy that each year rebalances to 25% SPDR S&P 500 (SPY), 10% iShares MSCI Emerging Markets Min Vol Factor (EEMV), 15%...
A subscriber, hypothesizing that asset classes with weak past returns should revert, requested testing of a strategy that each month holds the equal-weighted three of the Simple Asset Class ETF Momentum Strategy (SACEMS) universe with...
Does the Misery Index, the sum of the U.S. total inflation rate and the U.S. unemployment rate, predict U.S. stock market returns? To investigate, we relate monthly Misery Index and monthly change in Misery Index...
Below is a weekly summary of our research findings for 7/26/21 through 7/30/21. 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 the performance of a strategy that each month rebalances to 25% international equities, 25% U.S. equities, 25% U.S. Treasuries and 25% BBB bonds, and how this performance compares to that of...
Does anomaly publication lead to its speedy exploitation? In his March 2021 paper entitled “The Race to Exploit Anomalies and the Cost of Slow Trading”, Guy Kaplanski studies a sample of widely accepted U.S. stock...
What drives 12-month (with skip-month) momentum and 1-month reversal effects among U.S. common stock returns? In their July 2021 paper entitled “Mapping out Momentum”, Yimou Li and David Turkington decompose momentum and reversal effects into...
A subscriber requested testing of a strategy that buys SPDR S&P 500 (SPY) at the open on the day before each scheduled Federal Open Market Committee (FOMC) meeting and sells at the close. Using daily...
Financial media and expert commentators often cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Conversely,...
Below is a weekly summary of our research findings for 7/19/21 through 7/23/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
U.S. job gains or losses receive prominent coverage in the monthly financial news cycle, with media and expert commentators generally interpreting employment changes as an indicator of future economic and stock market health. One line...
Does the sentiment of social media uniquely predict stock market movements, or does it simply mirror the overall sentiment of traditional media? In their May 2021 paper entitled “Investor Sentiment, Media and Stock Returns: The...
Below is a weekly summary of our research findings for 7/12/21 through 7/16/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader commented and asked: “A wide credit spread (the difference in yields between Treasury notes or Treasury bonds and investment grade or junk corporate bonds) indicates fear of bankruptcies or other bad events. A...