Below is a weekly summary of our research findings for 1/22/19 through 1/25/19. 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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- Back Doors in Betting Against Beta?
Evidence indicates that previously published BAB factor performance is unrealistic, arguing against use of unconventional (hard-to-interpret) portfolio construction techniques. - Should the “Anxious Index” Make Investors Anxious?
Evidence from simple tests on available data suggest that probability of good times (and therefore also the “Anxious Index”) from the Survey of Professional Forecasters is not a useful indicator of future U.S. stock market behavior. - Coverage Ratio and Asymmetric Utility for Retirement Portfolio Evaluation
Analyses based on coverage ratio and an asymmetric utility function indicates that stocks-bonds retirement portfolios in most countries should tilt aggressively toward stocks. - Stopping Tests after Lucky Streaks?
Evidence indicates that experimenters closely tracking outputs may bias results by optionally ending tests after lucky streaks.
