Below is a weekly summary of our research findings for 6/8/20 through 6/12/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In reaction to “Federal Reserve Holdings and the U.S. Stock Market”, a subscriber suggested analysis of market reactions to announcements (starts/ends) of major Federal Reserve System interventions, such as the series of quantitative easing (QE)...
Are investors willing to pay for easy access to leverage? In the April 2020 version of their draft paper entitled “Embedded Leverage”, Andrea Frazzini and Lasse Pedersen investigate the relationship between the leverage of a...
Below is a weekly summary of our research findings for 6/1/20 through 6/5/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Review of Dual Momentum with Just Three Assets”, a subscriber suggested adding gold in competition with long-term U.S. Treasury bonds as a safe haven from equities. To test this potential enhancement of...
What are rational uses of leveraged and inverse exchange-traded products (ETP), which offer easy access to amplified positions in various benchmark indexes spanning stocks, bonds, commodities and volatility? In their April 2020 paper entitled “Levered...
Below is a weekly summary of our research findings for 5/26/20 through 5/29/20. 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 for an update on whether weekly or biweekly (every two weeks) measurement of asset class momentum works better than monthly measurement as used in “Simple Asset Class ETF Momentum Strategy (SACEMS)” (SACEMS)....
Below is a weekly summary of our research findings for 5/17/20 through 5/22/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Chicago Fed ANFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may be a useful indicator of future U.S. stock market...
Referring to “Chicago Fed NFCI as U.S. Stock Market Predictor”, a subscriber asked whether the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may work better as a U.S. stock market predictor....
“Chicago Fed NFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful indicator of future U.S. stock market returns. We...
A subscriber suggested that the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful U.S. stock market predictor. NFCI “provides a comprehensive weekly update on U.S. financial conditions in money markets, debt...
Are there equity styles that tend to perform relatively well during and after stock market crashes? In their April 2020 paper entitled “Equity Styles and the Spanish Flu”, Guido Baltussen and Pim van Vliet examine...
Below is a weekly summary of our research findings for 5/11/20 through 5/15/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How should investors think about combining strategies into a broader portfolio that reliably exploits their interactions over time? In the March 2020 version of his paper entitled “Preferred Portfolios: An Improved Blueprint to Construct Multi...
How should investors think about maximum drawdown (MaxDD) as a portfolio/strategy performance metric? In their April 2020 paper entitled “Drawdowns”, Otto Van Hemert, Mark Ganz, Campbell Harvey, Sandy Rattray, Eva Martin and Darrel Yawitch examine...
Below is a weekly summary of our research findings for 5/3/20 through 5/8/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do anomaly portfolios that are long (short) the tenth, or decile, of stocks with the highest (lowest) expected value-weighted returns based on some firm accounting variable or stock behavior really work on a net basis?...
Why do recent studies find that the value premium declines over time? In their April 2020 paper entitled “The Fundamental-to-Market Ratio and the Value Premium Decline”, Andrei Gonçalves and Gregory Leonard investigate whether book value...
Below is a weekly summary of our research findings for 4/27/20 through 5/1/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does a decade of underperformance by some widely followed stock value strategies mean it is time to throw in the towel? In their March 2020 paper entitled “Is (Systematic) Value Investing Dead?”, Ronen Israel, Kristoffer...
Below is a weekly summary of our research findings for 4/20/20 through 4/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Robo-advisors provide investors automated financial advice with varying levels of sophistication and degrees of individual tailoring. In their December 2019 book chapter entitled “Robo-advising”, Francesco D’Acunto and Alberto Rossi catalog the main features of robo-advising...
Does shorting the iPath S&P 500 VIX Short-Term Futures ETN (VXX) with crash protection (attempting to capture the equity volatility risk premium safely) work? To investigate, we apply crash protection rules to three VXX shorting scenarios:...