Can diversification across economic states improve portfolio performance? In their November 2020 paper entitled “Investing Through a Macro Factor Lens”, Harald Lohre, Robert Hixon, Jay Raol, Alexander Swade, Hua Tao and Scott Wolle study interactions...
Below is a weekly summary of our research findings for 2/16/21 through 2/19/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 2/8/21 through 2/12/21. 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 for a performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50),...
Why have so many quantitative funds performed poorly in recent years? In his January 2021 paper entitled “The Quant Crisis of 2018-2020: Cornered by Big Growth”, David Blitz examines in detail recent (June 2018 through...
Below is a weekly summary of our research findings for 2/1/21 through 2/5/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors use leveraged exchange-traded funds (ETF) as building blocks for long-term portfolios? In his January 2021 presentation package entitled “One Year Later. Leveraged ETFs in Portfolio Construction and Portfolio Protection”, Mikhail Smirnov updates multi-year...
Does the low-risk stock anomaly hold for China A shares, dominated by local private investors rather than institutions and characterized by high volatility and herding? In their January 2021 paper entitled “The Volatility Effect in...
What performance should investors expect from the S&P 500 Index based on price-to-earnings (P/E) and Cyclically-Adjusted Price-to-Earnings (CAPE, or P/E10)? In their November 2020 paper entitled “Extreme Valuations and Future Returns of the S&P 500”,...
A European subscriber asked about the effect of the dollar-euro exchange rate on the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we each month...
How has the marketplace for exchange-traded funds (ETFs) evolved? What performances do its “species” deliver? In their January 2021 paper entitled “Competition for Attention in the ETF Space”, Itzhak Ben-David, Francesco Franzoni, Byungwook Kim and...
Below is a weekly summary of our research findings for 1/25/21 through 1/29/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is it possible to achieve an attractive return with very low risk from a small universe of exchange-traded funds (ETF)? In the January 2021 revision of his paper entitled “Lazy Momentum with Growth-Trend Timing: Resilient...
How have value, quality, low-volatility and momentum equity factors, and combinations of these factors, performed in recent years. In their October 2020 paper entitled “Equity Factor Investing: Historical Perspective of Recent Performance”, Benoit Bellone, Thomas...
Below is a weekly summary of our research findings for 1/19/21 through 1/22/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can Bitcoin, or any other crypto-asset, become a durable currency, or is its value a pure bubble? In his October 2020 paper entitled “Fiat Money, Cryptocurrencies, and the Pure Theory of Money Edward Elgar Handbook...
Can machine learning software discover predictive stock price patterns? In their December 2020 paper entitled “(Re-)Imag(in)ing Price Trends”, Jingwen Jiang, Bryan Kelly and Dacheng Xiu apply convolutional neural network machine learning software to analyze stock...
Intangible assets derive largely from investments in employees, brand and knowledge that are expensed rather than booked. Despite large and growing importance of intangible assets, traditional measures of firm value ignore them. Are firm value...
“Evolution of Bitcoin as an Investment” suggests a shift toward acceptance of Bitcoin (BTC) as an investment asset, as do recent actions by some large investors. Grayscale Bitcoin Trust (GBTC) offers a way for investors...
Below is a weekly summary of our research findings for 1/11/21 through 1/15/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber requested evaluation of three retirement investment alternatives, assuming a constant increment invested at the end of each month, as follows: 50-50: allocate each increment via fixed percentages to stocks and bonds (for comparability,...
Below is a weekly summary of our research findings for 1/4/21 through 1/8/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How might crypto-assets transform finance? In their December 2020 paper entitled “DeFi and the Future of Finance”, Campbell Harvey, Ashwin Ramachandran and Joey Santoro examine the potential for decentralized finance (DeFi) to disrupt traditional financial...
Below is a weekly summary of our research findings for 12/28/20 through 12/31/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How does the Cyclically Adjusted Price-to-Earnings ratio (CAPE, or P/E10) behave during the COVID-19 pandemic? What are its current implications? In the November 2020 revision of their paper entitled “CAPE and the COVID-19 Pandemic Effect”,...