Below is a weekly summary of our research findings for 3/18/19 through 3/22/19. 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.
- Consumer Inflation Expectations Predictive?
Evidence from available data offers little support for belief that expected annual inflation from the University of Michigan Survey of Consumers offers useful trading information. - Measuring the Size Effect with Capitalization-based ETFs
Evidence from simple tests of capitalization-based ETFs with nearly 19 years of data offers little support for belief in a long-term, reliably exploitable size effect among U.S. stocks. - ISM PMI and Future Junk Bond Returns?
Evidence from statistical tests and strategy horse races offers little support for the assertion that ISM PMI predicts U.S. junk bond returns. - Measuring the Value Premium with Value and Growth ETFs
Evidence from simple tests with 17.5 years of available data does not support a belief that investors can reliably capture a value premium via popular value-growth ETFs. - SACEMS with Three Copies of Cash
Evidence from simple tests on available data offers little support for belief that adding copies of Cash to SACEMS (ensuring that no holdings have negative momentum) meaningfully helps or hurts EW Top 2 or EW Top 3 performances.
