Below is a weekly summary of our research findings for 8/26/19 through 8/30/19. 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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- SMA10 vs. OFR FSI for Stock Market Timing
Evidence suggests that investors using an SMA10-like rule to manage equity risk may want to consider taking incremental equity risk by adding an OFR FSI signal, but associated performance improvements are small. - Stock Returns Around Blockchain Investment Announcements
Limited evidence suggests that traders may be able to exploit initial firm announcements of investment of blockchain technology by selectively shorting associated stocks (e.g., low-priced) if Bitcoin return has recently been strong. - Stock Returns Around Labor Day
best guess is that any anomalous U.S. stock market behavior around Labor Day is a relatively strong return one trading day before the holiday and high volatility the day after, but noise generally dominates and recent data does not support belief in a return anomaly. - SACEVS-SACEMS for Value-Momentum Diversification
Evidence from available samples suggests that SACEMS and SACEVS usefully diversify each other. - SACEMS-SACEVS Diversification with Mutual Funds
Evidence from the available sample period suggests that SACEMS and SACEVS as applied to mutual funds usefully diversify each other.
