Below is a weekly summary of our research findings for 11/16/20 through 11/20/20. 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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- Three High-attention Earnings Announcement Clusters Drive Market?
Evidence indicates that holding the U.S. stock market for just three days in each quarter (12 days a year, based on the most prominent PM EACs) captures nearly two thirds of annual market excess return, while bearing a small fraction of annual market volatility. - Turn of the Year and Size in U.S. Equities
Evidence from simple tests on recent data suggest that, while small stocks outperform large stocks on average during the second half of December, outperformance is fading and unreliable. - Market Impacts of Growth in Target Date Funds
Evidence suggests that growth in TDFs is affecting U.S. stock market and individual stock returns, particularly time series momentum. - Testing for Trends in Trending for U.S. Stocks and Bonds
Evidence from rolling autocorrelation analyses of SPY, FFIDX and FBNDX raise doubts about the finding that TDF rebalancing is having reliable effects on U.S. stock and bond market behaviors. - U.S. Stock Market Returns Around Thanksgiving
Best guess is that any anomalous U.S. stock market strength around Thanksgiving comes one trading day before and one trading day after the holiday, with the next day weak, but effects may be weakening and noise generally dominates.
