Below is a weekly summary of our research findings for 5/11/20 through 5/15/20. 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.
Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.
- Federal Reserve Holdings and the U.S. Stock Market
Evidence from a very small sample of Federal Reserve initiatives to accumulate SOMA holdings suggests that accumulations (pauses/liquidations) stimulate (depress) the U.S. stock market over the next few quarters. - Weekly Economic Index and Asset Returns
Evidence offers little support for belief that WEI is useful for predicting U.S. stock and bond market returns. On the contrary, the latter appear to lead WEI by two or three weeks. - SMA Signal Effectiveness Across Stock ETFs
Evidence from simple tests over a modest available sample period indicates that commonly used SMA timing strategies perform very differently for different stock samples. - Maximum Drawdown as Portfolio/Strategy Performance Metric
Simulations indicate that MaxDD-based rules with thresholds decreasing over time are useful for portfolio/strategy risk management under the belief that performance tends to degrade over time. - Multi-strategy Portfolio Design Approach
Construction of robust investment portfolios involves a continually refreshed and uncorrelated set of quantitative strategies across asset classes, and patience.
