As implied in “Mirror Image Seasonality for Stocks and Treasuries?”, are bonds better than stocks during the “Sell-in-May” months of May through October? Are behaviors of government, corporate investment grade and corporate high-yield bonds over this...
Are firms that engage the public via Twitter more expanding (via exposure) or shrinking (via adverse social media frenzy) their opportunity sets? In their January 2020 paper entitled “The Social Media Risk Premium”, Amin Hosseini,...
Below is a weekly summary of our research findings for 2/24/20 through 2/28/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Monthly Rebalanced Shorting of Leveraged ETF Pairs” finds that shorting some pairs of leveraged ETFs may be attractive. How has the strategy worked recently and how sensitive are findings to execution costs? To investigate, we...
How does execution delay affect the performance of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS)? These strategies each month allocate funds to the following asset class exchange-traded funds (ETF) according...
Below is a weekly summary of our research findings for 2/18/20 through 2/21/20. 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 requested verification of findings in “Smart Money Indicator for Stocks vs. Bonds”, where the Smart Money Indicator (SMI) is a complicated variable that exploits differences in futures and options positions in the S&P...
Do investors systematically and exploitably underreact to deviations in firm fundamentals from recent averages? In their January 2020 paper entitled “Anchoring on Past Fundamentals”, Doron Avramov, Guy Kaplanski and Avanidhar Subrahmanyam investigate how deviations of...
Has growth in futures-based exchange-traded funds (ETF) predictably affected pricing of underlying assets? In his November 2019 paper entitled “Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets”, Karamfil Todorov investigates impacts of...
Below is a weekly summary of our research findings for 2/10/20 through 2/14/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are robo-analysts, who apply technology to mass-produce recommendations with limited human intervention, better stock pickers than traditional human analysts? In their January 2020 preliminary (and incomplete) paper entitled “Man Versus Machine: A Comparison of Robo-Analyst...
Are there any investors who have compellingly beaten the market? In his December 2019 paper entitled “Medallion Fund: The Ultimate Counterexample?”, Bradford Cornell reviews performance of the Medallion Fund from Renaissance Technologies as a clear...
Below is a weekly summary of our research findings for 2/3/20 through 2/7/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do exchange-traded funds (ETF) that operate like rule-based (passive) hedge funds offer attractive performance? In their December 2019 paper entitled “The Performance of Passively-Managed Hedged ETFs”, Jason Cheng, Joseph Fung and Eric Lam examine performance...
Is there a better stock value ratio than commonly used ones such as book-to-market, dividend-to-price, earnings-to-price and cash flow-to-price ratios? In the January 2020 revision of his paper entitled “A New Value Strategy”, Baolian Wang...
Does return distribution skewness predict relative performance of assets across asset classes? In their December 2019 paper entitled “Cross-Asset Skew”, Nick Baltas and Gabriel Salinas investigate realized skewness as a relative return predictor within and...
Below is a weekly summary of our research findings for 1/27/20 through 1/31/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Identifying VXX/SVXY Tendencies” finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of...
Are there reliable predictors supporting strategies for timing exchange-traded notes (ETN) constructed from near-term S&P 500 Volatility Index (VIX) futures, such as iPath S&P 500 VIX Short-Term Futures ETN (VXX) and ProShares Short VIX Short-Term...
Below is a weekly summary of our research findings for 1/21/20 through 1/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 1/13/20 through 1/17/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What advice does Warren Buffett offer investors? In his December 2019 paper entitled “Introduction to the Essays of Warren Buffett: Lessons for Corporate America”, Lawrence Cunningham summarizes main themes of the 5th edition of the...
Can investors exploit the volatility risk premium to improve the hedging performance of S&P 500 Implied Volatility Index (VIX) futures? In his November 2019 paper entitled “Portfolio Strategies for Volatility Investing”, Jim Campasano tests an...
Are there any seasonal, technical or fundamental strategies that reliably time the U.S. stock market as proxied by the S&P 500 Total Return Index? In the February 2018 version of his paper entitled “Investing In...
How can investors suppress the downside of trend following strategies? In their July 2019 paper entitled “Protecting the Downside of Trend When It Is Not Your Friend”, flagged by a subscriber, Kun Yan, Edward Qian...