Below is a weekly summary of our research findings for 9/28/20 through 10/2/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The conventional size (market capitalization) premium is notoriously weak since discovery almost 40 years ago. Does this poor live track record mean it is useless to investors? In their September 2020 paper entitled “Settling the...
Below is a weekly summary of our research findings for 9/21/20 through 9/25/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should investors buy yield enhancement products (YEP), which typically offer higher-than-market yields from a package comprised of an underlying stock or equity index and a series of short put options? In the August 2020 version...
Are buy-and-hold stock market returns attractive over the long run globally? In their May 2020 paper entitled “Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets”, Aizhan Anarkulova, Scott Cederburg and...
What are typical return behaviors and firm characteristics of the best-performing and worst-performing U.S. stocks at a 10-year horizon? In his July 2020 series of papers entitled “Extreme Stock Market Performers”, Part I: Expect Some...
Below is a weekly summary of our research findings for 9/14/20 through 9/18/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do economic expectations of sophisticated investors relative to those of unsophisticated investors predict stock market returns? In the September 2020 revision of his paper entitled “Relative Sentiment and Machine Learning for Tactical Asset Allocation”, flagged...
Below is a weekly summary of our research findings for 9/8/20 through 9/11/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do mutual funds and hedge funds change their stock holdings in response to a sharp market crash? In their July 2020 paper entitled “Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from...
How do U.S. non-profit endowment funds allocate and perform? In their November 2019 paper entitled “The Risk, Reward, and Asset Allocation of Nonprofit Endowment Funds”, Andrew Lo, Egor Matveyev and Stefan Zeume examine recent asset...
Below is a weekly summary of our research findings for 8/31/20 through 9/4/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How well did previously identified portfolio risk management strategies work during the COVID-19 market crash? In their July 2020 paper entitled “Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff”, Campbell Harvey, Edward Hoyle,...
Below is a weekly summary of our research findings for 8/24/20 through 8/28/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does nominal stock price matter for associated option returns? In their May 2020 paper entitled “Cheap Options Are Expensive”, Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov evaluate option returns across the range of U.S. stock...
Are portfolios of U.S. stocks that are double-sorted to capture benefits of two complementary return anomalies attractive? In their July 2020 paper entitled “Interacting Anomalies”, Karsten Müller and Simon Schmickler test all possible double-sorted portfolios...
A subscriber asked for a comparison of two 50%-50% monthly rebalanced combinations of Simple Asset Class ETF Value Strategy (SACEVS) and Simple Asset Class ETF Momentum Strategy (SACEMS) portfolios, as follows: 50-50 Best Value +...
Below is a weekly summary of our research findings for 8/17/20 through 8/21/20. 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 whether forcing the Simple Asset Class ETF Momentum Strategy (SACEMS) to agree with the Simple Asset Class ETF Value Strategy (SACEVS) when the latter assigns zero weight to stocks or government bonds...
Below is a weekly summary of our research findings for 8/10/20 through 8/14/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the real (inflation-adjusted) price of gold indicate future gold return? If so, what is the current indication? In their August 2020 paper entitled “Gold, the Golden Constant, COVID-19, ‘Massive Passives’ and Déjà Vu”, Claude...
Do stocks added to major indexes, such as the S&P 500 Index, exhibit exceptionally strong subsequent returns? In their July 2020 paper entitled “Does Joining the S&P 500 Index Hurt Firms?”, Benjamin Bennett, René Stulz...
Below is a weekly summary of our research findings for 8/3/20 through 8/7/20. 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 nominal incentive fee charge by hedge funds (typically 20% of profits exceeding a previous high-water mark) representative of the actual aggregate incentive fee paid by fund investors? In the July 2020 revision of...
Can individual investors make a living by day trading? In the June 2020 update of their paper entitled “Day Trading for a Living?”, Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti analyze performances of all Brazilian...