Below is a weekly summary of our research findings for 3/11/19 through 3/15/19. 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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- Inflated Expectations of Factor Investing
Investors should be skeptical regarding claims that either the current set of equity factors or any new factors offer truly attractive performance. - Any Seasonality for Gold or Gold Miners?
Evidence from simple tests supports some belief that gold and gold mining stocks tend to have strong and weak months of the year, but sample periods are not long and returns exhibit considerable variability. - SACEMS Top 1 Mean Reversion?
Available evidence offers some, but not compelling, support for focusing on ranks 2 and 3 for constructing SACEMS portfolios. Support for diversification across top rankings is broader. - Relative Wealth Effects on Investors
Optimal portfolio allocations for relative wealth-motivated investors vary with current wealth. The rich should go with the flow (preserving advantage), and the poor should be contrarian (potentially escaping disadvantage). - Optimal Monthly Cycle for SACEMS?
Evidence supports some belief that optimal monthly calculation cycles for SACEMS are at or preceding the turn of the month and that the EW Top 3 portfolio attractively suppresses rebalance timing risk.
