Below is a weekly summary of our research findings for 12/21/20 through 12/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.
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- Fed Model Improvement?
Evidence indicates that alternatives to the original Fed model that use more sophisticated equity return forecasts outperform the Fed model. - Using Alternative Data for Investing
Benefits of exploiting alternative data for investing purposes are difficult to assess. - SACEVS Applied to Mutual Funds
Evidence from the available test period suggests that SACEVS applied to mutual funds beats a relevant benchmark over the past 40 years, but magnitude of outperformance is somewhat sensitive to the lookback interval used for risk premium estimation and may be dissipating. - Stock Returns Around New Year’s Day
Best guess is that any anomalous U.S. stock market strength around New Year’s Day will start the week before and end two trading days after the holiday, followed by a fade, but noise generally dominates.
