Below is a weekly summary of our research findings for 5/28/19 through 5/31/19. 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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- Short-term Equity Risk More Political Than Economic?
Evidence suggests that the flow of news, especially geopolitical news, materially predicts the U.S. equity risk premium at a monthly horizon. - Test of Seasonal Risk Adjustment Strategy
Evidence from a short test supports some belief in the effectiveness of shifting to relatively high-risk (low-risk) investments during November-April (May-October). - Consumer Sentiment and Stock Market Returns
Evidence from simple tests offers no support for a belief that monthly changes in the University of Michigan Consumer Sentiment Index predict stock market returns at horizons of one to six months. - Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes
Evidence from a short recent sample period suggests that IM4 and SMA7 may be optimal across asset classes for traders bearing low trading frictions. However, findings are very noisy and timing rules may not work at all for some asset classes.
