Below is a weekly summary of our research findings for 10/26/20 through 10/30/20. 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 Index Earnings-returns Lead-lag
Available evidence suggests that the relationship between stock index earnings and index return is very noisy and may not be exploitable. - Finding a Healthy Value Premium
Evidence indicates that existence of an enhanced value premium is more convincing than existence of the traditional value premium, though the former is still weak in recent years. - Alternative Simplest Asset Class Momentum Strategies
Though results for VUG-BND are reasonably attractive, evidence mostly does not support preferring this pair over SPY-TLT or QQQ-TLT for the simplest asset class ETF momentum strategy. - Simple Tests of an Asymmetric SMA Strategy
Evidence from simple tests on SPY-cash switching based on SMA crossovers does not support belief that using a slow SMA during equity bull conditions and a fast SMA during equity bear conditions is preferable to always using the slow SMA. - Asset Class Momentum Faster During Bear Markets?
Evidence from the available sample supports belief that short asset class momentum lookback intervals provide better protection from U.S. equity bear markets than long lookback intervals.
