Below is a weekly summary of our research findings for 6/3/19 through 6/7/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.
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- Usefulness of Published Stock Market Predictors
Evidence indicates that, while statistically weak U.S. stock market predictors are sometimes economically useful, statistically strong predictors can be useless if they tend to: (1) take extreme values when volatility is high; (2) have low persistence; and/or, (3) have distributions with fat tails. - Simple Tests of Sy Harding’s Seasonal Timing Strategy
Evidence from simple tests on SPY over its full history offers some support for preferring Sy Harding’s Seasonal Timing Strategy over buy-and-hold based on risk, but hardly any support for preferring the MACD refinement of seasonal entry and exit. - Are Low Volatility Stock ETFs Working?
Available evidence on attractiveness of low volatility stock ETFs is mostly positive. - Mean-Variance Optimization vs. Equal Weight for Sectors and Individual Stocks
Evidence indicates that mean-variance optimization beats equal weighting for relatively low-variance equity indexes, but the reverse holds for relatively high-variance individual stocks. - Intrinsic (Time Series) Momentum Everywhere?
Evidence based on risk-adjusted performance indicates that intrinsic momentum is ubiquitous across asset classes and equity factors, on a gross basis.
