Below is a weekly summary of our research findings for 7/8/19 through 7/12/19. 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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- Optimal Long-Short Stock Momentum Strategies in European Markets
Evidence from European country markets indicates that optimal parameter sets for long-short stock momentum strategies, based on average gross monthly return, vary by market. - Monthly Returns During Presidential and Congressional Election Years
Evidence from simple tests supports some belief that elections affect typical U.S. stock market seasonality. - Factor Premium Reliability and Timing
Evidence indicates that premiums for four widely accepted asset return factors are: (1) persistent over time, but smaller than originally reported; (2) mutually diversifying (especially value and momentum); and, (3) likely unprofitable to time. - Mimicking Portfolios of Five ETFs Beat Most Active Mutual Funds?
Evidence indicates that investors can reliably outperform a typical active U.S. equity mutual fund via annual mimicking reallocations to a set of five broad equity ETFs. - Optimal Cycle for Monthly SMA Signals?
Evidence from simple tests on the S&P 500 Index offer little support for a belief that investors using monthly simple moving averages to time U.S. stocks should prefer a calculation cycle anchored on a day other than the end of the month.
