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 your investing needs.
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- Returns for Leveraged Securities
Evidence indicates that investors are willing to pay a premium for easy access to leverage, thereby depressing future returns for securities conveying it. - Returns After QE Announcements
Evidence from a very small sample of QE program initiations, expansions and terminations are not consistent enough to support much belief in predictability of market response. - Exploit U.S. Stock Market Dips with Margin?
Evidence indicates that using margin as specified to exploit U.S. stock market reversion from dips may offer a modest boost in CAGR at the cost of substantially deeper drawdowns during bear markets. - Turn-of-the-Month Effect Persistence and Robustness
Evidence from simple tests indicates that the turn-of-the-month effect for broad U.S. equity indexes exhibits robustness across years, calendar months, market conditions and types of stocks. The effect may be weakening slowly over time and, based on raw returns, unattractive during the summer months. - Does the Turn-of-the-Month Effect Work for Sectors?
Evidence from simple tests on recent samples supports belief that the turn-of-the-month effect holds for major stock market sectors. - Does the Turn-of-the-Month Effect Work for Asset Classes?
Evidence from simple tests on recent samples supports belief that the turn-of-the-month effect holds for equities in general and commodities, but not for U.S. bonds or gold.
