Below is a weekly summary of our research findings for 8/12/19 through 8/16/19. 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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- Federal Reserve Treasuries Holdings and Asset Returns
Evidence from simple tests on available data suggests that increases (decreases) in Fed Treasuries holdings are good (bad) for the U.S. stock market at a quarterly horizon, but have little effect on the Treasuries market. - SACEVS Input Risk Premiums and EFFR
Evidence suggests that a rising (falling) EFFR tends to push the term, credit and equity risk premiums down (up), thereby influencing associated SACEVS allocations. - Equity Factor Time Series Momentum
Evidence indicates that some investors may be able to exploit short-term factor momentum to boost performance of associated factor portfolios. - Small Business Owner Sentiment and the U.S. Stock Market
Evidence from simple tests mostly supports belief that (as often observed for sentiment measures) small business owner sentiment lags rather than leads the U.S. stock market. - Are Stock Quality ETFs Working?
Limited available evidence offers little support for belief that stock quality ETFs reliably beat respective benchmarks.
