Below is a weekly summary of our research findings for 5/3/20 through 5/8/20. 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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- Stock Market Valuation Ratio Trend Evolution
Recent S&P 500 earnings forecasts indicate 12-month trailing earnings-price ratios well below generational “normal” over the next year, and forecasts are deteriorating. - Divergence of Book Value from Actual Value?
Evidence indicates that the conventional value premium declines because BE is no longer a good measure of expected cash flow. A broader measure of expected cash flow works well. - Shorting Costs and Exploitation of Stock Anomalies
Evidence from actual shorting costs/constraints undermines belief in net profitability of long-short stock anomaly strategies. - Tech Equity Premium?
Evidence from simple tests on 21 years of data suggests long boom, short bust for a tech/innovation-concentrated portfolio. It does not support belief in risk-adjusted outperformance. - U.S. Equity Premium?
Evidence from simple tests on about 19 years of data suggests that stock market leadership shifts between the U.S. and other developed markets over time, but the U.S. may be better overall. - Review of Dual Momentum with Just Three Assets
Evidence indicates that ADM has attractive features but does not beat the broad U.S. stock market consistently over time.
