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 your investing needs.
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- Skewness a Pervasive Return Predictor?
Evidence indicates that asset return skewness may be useful as return predictor within and across most asset classes. - A Better Stock Value Ratio?
Evidence indicates that cash-based operating profitability-to-price is superior to widely used stock value ratio for capturing the equity value premium. - Simple Term Structure ETF/Mutual Fund Momentum Strategy
Evidence from simple tests offers a little support (from the long-term test) for belief that a term structure momentum strategy usefully exploits interest rate trend. In general, shorter lookback intervals are better than longer ones. - Performance of ETFs Employing Rule-based Hedging
Evidence indicates that ETFs designed to work like rule-based hedge funds are unattractive for investors. - Best Safe Haven ETF?
Evidence from simple tests over available and common sample periods suggests that silver, gold, longer-term U.S. Treasuries and investment grade corporate bonds are safe havens, while crude oil is clearly not.
