Below is a weekly summary of our research findings for 12/16/19 through 12/20/19. 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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- SACEVS with SMA Filter
Evidence from simple tests on available data supports belief that adding an SMA10 filter to SACEVS allocations (ensuring that no ETF holdings are in downtrends) lowers returns but also suppresses drawdowns, and therefore may be attractive to risk-averse investors. - Factor Portfolio Longs vs. Shorts
Evidence indicates that long sides of factor portfolios plus a market hedge from liquid derivatives is an efficient approach to equity factor investing. - Stock Returns Around Christmas
Best guess is that any anomalous U.S. stock market strength around Christmas will start one trading day before and persist for several trading days after the holiday, but noise generally dominates. - Intrinsic Momentum or SMA for Avoiding Crashes?
Evidence from simple tests indicates no clear winner among the three U.S. stock market timing signals considered, but IM based on raw cumulative return appears to be better than IM in excess of the risk-free rate. - Retail Trading Drives Stock Momentum?
Evidence indicates a positive relationship between proportion of retail trading in stocks and future performance of a momentum portfolio holding the stocks, but a momentum crash may cancel the relationship.
