Below is a weekly summary of our research findings for 2/1/21 through 2/5/21. 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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- Evolution of Broad-based and Specialized ETFs
Evidence indicates that cheap broad-based ETFs offer modestly negative alpha, and expensive specialized ETFs (typically launched just after peak excitement for an investment theme) offer materially negative alpha. - SACEVS and SACEMS from a European Perspective
Available evidence indicates that introducing a currency exchange complication into SACEVS and SACEMS increases strategy volatilities and deepens drawdowns. - Valuation-based Stock Market Return Expectations
Evidence indicates predictability of future U.S. stock market returns based on regressions of historical market and economic variables. - Testing the Low-volatility Effect on Chinese A Shares
Evidence indicates that the equity volatility effect is pervasive geographically and across market dominated by institutions (as in the U.S.) and by private investors (as for Chinese A shares). - Update on Classic Portfolio Allocations with Leveraged ETFs
A monthly rebalanced 40% TQQQ/20% TMF/40% TLT portfolio exhibits attractive risk-adjusted performance and fairly good performance persistence over the available sample period through mid-January 2021.
