A subscriber asked whether there are any lead-lag relationships between gold, proxied by SPDR Gold Shares (GLD), and 10-year U.S. Treasury note (T-note) yields. As a proxy for the latter, we use iShares 7-10 Year...
Below is a weekly summary of our research findings for 8/1/22 through 8/5/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is past rolling maximum drawdown, a simple measure of recent downside risk, a useful indicator of future mutual fund performance? In their June 2022 paper entitled “Maximum Drawdown as Predictor of Mutual Fund Performance and...
Why have inflation, economic uncertainty and geopolitical uncertainty not driven up the price of gold? In their brief May 2022 commentary entitled “Why Isn’t the Gold Price Higher?”, Paul Gambles and James Fraser review the...
Do presumably expert early-stage startup investors, whether individuals (Angels) or institutions (Venture Capitalists) invest efficiently? In his June 2022 paper entitled “Predictably Bad Investments: Evidence from Venture Capitalists”, Diag Davenport applies machine learning methods based...
Below is a weekly summary of our research findings for 7/25/22 through 7/29/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do individual investors who chase stocks with high recent returns benefit from momentum or suffer from reversal? In their June 2022 paper entitled “Who Chases Returns? Evidence from the Chinese Stock Market”, Weihua Chen, Shushu...
Do the Best Brands, as published annually by Interbrand based on net present value of predicted incremental earnings due to brand, offer superior investment performance due to pricing power and superior operating practices? In their June...
Below is a weekly summary of our research findings for 7/18/22 through 7/22/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“A Quantitative Approach to Tactical Asset Allocation” is a highly influential paper (over 253,000 downloads from SSRN) about asset allocation based on trend following, with the original version posted in early 2007 and a revision...
How should investors reposition portfolios across inflationary regimes (deflation, low inflation, mild inflation, high inflation)? In their July 2022, paper entitled “Investing in Deflation, Inflation, and Stagflation Regimes”, Guido Baltussen, Laurens Swinkels and Pim van...
Below is a weekly summary of our research findings for 7/11/22 through 7/15/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Over at least the past three decades, 100% or more of the return (0% or negative return) on a wide range of risky assets occurs when markets are closed (open). Is this overnight effect important...
Multifactor funds offer rules-based, diversified exposures to firm/stock factors found to beat the market in academic studies. Do the funds beat the market in real life? In his June 2022 paper entitled “Multifactor Funds: An...
Below is a weekly summary of our research findings for 7/5/22 through 7/8/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do the choices researchers make when constructing factor portfolios to explain stock returns materially affect their findings? In their June 2022 paper entitled “Mind Your Sorts”, Amar Soebhag, Bart van Vliet and Patrick Verwijmeren examine...
A subscriber asked whether the Turn-of-the-Month (TOTM) effect applies to currencies. To investigate, as in the past, we define TOTM as the interval from the close five trading days before to the close four trading...
A subscriber asked about the relationship between the high-yield bond spread and stock market return, with focus on when the latter is entering a bear market. To investigate, we use the ICE BofA US High...
Below is a weekly summary of our research findings for 6/27/22 through 7/1/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What determines whether a stock will exhibit short-term momentum or short-term reversal? In their May 2022 paper entitled “Short-term Relative-Strength Strategies, Turnover, and the Connection between Winner Returns and the 52-week High”, building upon prior...
The 10-month simple moving average (SMA10) is a widely studied trend-following technical indicator for the U.S. stock market. How much value does it add? To investigate, we compare: SMA10 – A strategy that is each...
Below is a weekly summary of our research findings for 6/21/22 through 6/24/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there conflicts inherent in an investment strategy seeking to impose social preferences on a value style? In their May 2022 paper entitled “No Good Deed Goes Unpunished? Social vs. Investment”, Tzee-man Chow and Feifei...
Below is a weekly summary of our research findings for 6/13/22 through 6/17/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What information is key to investing in crypto-assets? In their May 2022 paper entitled “An Investor’s Guide to Crypto”, Campbell Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym and Otto Van...