Below is a weekly summary of our research findings for 3/8/21 through 3/12/21. 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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- Effects of Capitalizing Intangibles on Factor Models of Stock Returns
Evidence indicates that capitalization of intangible investments substantially boosts performance of widely used factor models of stock returns via value and profitability factor improvements. - Disproportionate Influence of Retail Investors?
Evidence indicates that retail traders acting in concert can substantially impact prices of stocks with relatively small market capitalizations and passive institutional investors. - New Subclass of Retail Investors?
Evidence indicates that the new subclass of zero-commission traders on Robinhood are uninformed and generally reduce market liquidity. - SACEMS with Margin
Evidence from tests on available data suggests that ~2X margin may be tolerable for SACEMS EW Top 3 for some investors, offering considerably higher CAGR with some deterioration in Sharpe ratio and a deeper MaxDD. - SACEVS with Margin
Evidence from tests on available data suggests that margin for SACEVS may not be tolerable for most investors due to deep MaxDDs, despite offering considerably higher CAGRs.
