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 your investing needs.
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- Stock Market and the Super Bowl
Evidence from simple tests on a modest sample supports some belief that the U.S. stock market is abnormally weak (strong) during the week before (after) the Super Bowl. - Usefulness of P/E10 as Stock Market Return Predictor
Evidence from simple tests on long-run data indicates that P/E10 has in-sample predictive power for long-term future stock market returns, but this predictive power does not obviously translate to effective market timing. - Modified Test of P/E10 Usefulness
Evidence from simple tests on long-run data offers little support for belief that P/E10 is useful as a U.S stock market timing signal with simple position scaling. - Identifying VXX/SVXY Tendencies
Evidence from simple tests on available data suggests that VXX and SVXY trading strategies that exclude the highest (most positive) VIX futures roll returns is most promising. - Exploiting VIX Futures Roll Return with ETNs
Available evidence suggests that investors may be able to exploit the predictive power of VIX futures roll return by switching between SVXY and cash according to the sign of the roll return, but performance is still subject to large drawdowns.
