Below is a weekly summary of our research findings for 12/21/20 through 12/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Simple Asset Class ETF Value Strategy” (SACEVS) finds that investors may be able to exploit relative valuation of the term risk premium, the credit (default) risk premium and the equity risk premium via exchange-traded funds (ETF)....
Many institutional investors are attempting to exploit alternative data (less structured and more obscure than traditional data) to boost portfolio performance, supporting a complex system of data collectors, aggregators and organizers. How do they approach...
Is there a better way than the Fed model to measure relative attractiveness of equities and bonds. In his October 2020 paper entitled “Towards a Better Fed Model”, Raymond Micaletti examines seven Fed Model alternatives,...
Below is a weekly summary of our research findings for 12/14/20 through 12/18/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do surprising fluctuations in short interest ratios of stocks indicate new information from short sellers that predicts returns of these stocks? In their November 2020 paper entitled “Surprise in Short Interest”, Matthias Hanauer, Pavel Lesnevski...
A subscriber asked about a strategy that switches between an equal-weighted portfolio of Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM) when the S&P 500 Index is above its 200-day simple moving average...
Do extreme equity market valuations represent opportunities in value stocks? In their October 2020 paper entitled “Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium”, Stefano Cassella, Zhaojing Chen, Huseyin Gulen and Ralitsa Petkova...
Target-date funds (TDFs) are popular fund-of-funds retirement investments that offer asset class diversification and periodic rebalancing aimed at a specific retirement year. TDFs typically charge layers of fees (fund-of-funds fee plus fees of underlying funds)....
Below is a weekly summary of our research findings for 12/7/20 through 12/11/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations...
Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects...
Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest...
Below is a weekly summary of our research findings for 11/30/20 through 12/4/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stocks with high borrowing costs (loan fees) exhibit predictably low short-term returns? In their November 2020 paper entitled “Borrowing Fees and Expected Stock Returns”, Kaitlin Hendrix and Gavin Crabb explore whether stock loan fees...
Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning...
How connected are principal measures of U.S. economic activity and U.S. stock market performance? In their October 2020 paper entitled “Has the Stock Market Become Less Representative of the Economy?”, Frederik Schlingemann and René Stulz...
Below is a weekly summary of our research findings for 11/23/20 through 11/27/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How are attitudes toward Bitcoin as an investment evolving? In their October 2020 survey report entitled “Comparing Public Bitcoin Adoption Rates in 2020 vs 2017”, the Tokenist summarizes findings from a survey using the same...
Do differences in equity sector responses to stock market crashes (and associated volatility spikes) support an exploitably attractive sector rotation strategy? In the November 2020 update of his paper entitled “Actively Using Passive Sectors to...
Do stocks with high borrowing costs reliably underperform? In their October 2020 paper entitled “The Loan Fee Anomaly: A Short Seller’s Best Ideas”, Joseph Engelberg, Richard Evans, Gregory Leonard, Adam Reed and Matthew Ringgenberg examine...
Below is a weekly summary of our research findings for 11/16/20 through 11/20/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Market Impacts of Growth in Target Date Funds” summarizes research on potential market-wide effects of periodic rebalancing actions of Target Date Funds (TDF), which trade against momentum. One piece of evidence is that monthly autocorrelation...
Are aggregate periodic stocks-bonds rebalancing actions of Target Date Funds (TDF), which trade against momentum, increasingly affecting U.S. stock market dynamics? In their October 2020 paper entitled “Retail Financial Innovation and Stock Market Dynamics: The...
Does the U.S. stock market respond predictably to simultaneous earnings announcements of attention-grabbing companies? In their September 2020 paper entitled “Famous Firms, Earnings Clusters, and the Stock Market”, Yixin Chen, Randolph Cohen and Zixuan Wang...