Below is a weekly summary of our research findings for 8/24/20 through 8/28/20. 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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- SACEVS Input Risk Premiums and EFFR
Evidence suggests that a rising (falling) EFFR tends to push the term, credit and equity risk premiums down (up), thereby influencing associated SACEVS allocations. - SACEVS Best Value + SACEMS EW Top 2?
Available evidence offers some support for preferring SACEVS Best Value plus SACEMS EW Top 2 over SACEVS Best Value plus SACEMS EW Top 3. - Asset Class ETF Interactions with the U.S. Dollar
Evidence suggests that a strong (weak) U.S. dollar is contemporaneously bad (good) for most dollar-denominated asset classes, but not for U.S . government bonds. Dollar valuation changes are not convincingly predictive of asset class returns. - Best Stock Return Anomaly Double Sorts?
Evidence indicates that double-sorting of U.S. stocks on certain anomalies may generate attractive gross performance, but: (1) the effect fades over time; and, (2) the best double-sorts tend to involve high trading frictions. - Options on Low-priced Stocks Overpriced?
Evidence suggests that retail investor demand for low-priced options makes options on low-priced stocks relatively expensive.
