Below is a weekly summary of our research findings for 4/8/19 through 4/12/19. 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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- Asset Class Momentum Faster During Bear Markets?
Evidence from the available sample support belief that short asset class momentum lookback intervals provide better protection from U.S. equity bear markets than long lookback intervals. - Equity Factor Census
Equity factor research in aggregate overstates investment return expectations. Stock and equity style pickers should be skeptical of academic underpinnings of their beliefs. - Cautions Regarding Findings Include…
Investors should be skeptical about transfer of findings from formal papers on financial markets to investment practices, especially with regard to implementation costs, direct and inherited data snooping, model/strategy complexity, and rigor in sampling and methodology. - EFFR and the Stock Market
Evidence is inconsistent over time regarding U.S. stock market reactions to changes in EFFR over the intermediate term. - Stock Returns Around Easter
Best guess is that there may be an anomalous up-down-up oscillation in the U.S. stock market from the trading day just before through two trading days after Good Friday.
