Below is a weekly summary of our research findings for 9/30/19 through 10/4/19. 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.
Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.
- Long-only Stock Momentum with Volatility Timing
Evidence suggests that timing a long-only stock momentum portfolio by exiting when portfolio volatility is unusually high enhances momentum performance. - Active Investment Managers and Market Timing
Evidence from simple tests on NAAIM survey data offers little support for belief that active investment managers as a group successfully time the U.S. stock market over the near term, but they may add value by avoiding stock market volatility. - Consumer Credit and Stock Returns
Evidence from simple tests offers little support a belief that consumer credit is a useful indicator of future stock market behavior. - Are Managed Futures ETFs Working?
Limited available evidence on attractiveness of managed futures ETFs suggests that any benefits from diversification of equities and fixed income are unlikely to compensate for poor absolute returns. - In Search of the Bear?
Evidence from available data offers perhaps a little support for belief that extremely high public interest in “bear market” per Google Trends is cautionary for near-term U.S. stock market return.
