June 24, 2024 - Calendar Effects
The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading
June 21, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 6/17/24 through 6/21/24. 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.
June 21, 2024 - Animal Spirits, Individual Investing
What happens to retail investor performance when brokers make trading apps game-like (gamification)? In his June 2024 paper entitled “Gamification of Stock Trading: Losers and Winners”, Eduard Yelagin examines how traders react to injections of gamification in mobile trading apps offered by major U.S. brokers. For each app update, he reviews developer notes about its… Keep Reading
June 20, 2024 - Momentum Investing, Strategic Allocation
A subscriber asked about the stability of the momentum measurement (lookback) interval used for strategies like the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we run two tests on each of top one (Top 1), equal-weighted top two (EW Top 2) and equal-weighted top three (EW Top 3) versions of SACEMS: Identify the… Keep Reading
June 18, 2024 - Bonds, Equity Premium, Real Estate, Strategic Allocation
What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a real estate risk premium, derived from the yield on equity Real Estate Investment Trusts (REIT), represented by the FTSE NAREIT Equity REITs Index? To investigate, we apply the SACEVS methodology to the following asset class exchange-traded funds (ETF), plus cash: 3-month Treasury bills (Cash) iShares 20+… Keep Reading
June 17, 2024 - Calendar Effects
Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with subsequent reversals)? Or, do they sell stocks to raise cash for fund redemptions? Is any end-of-quarter effect distinct from the… Keep Reading
June 14, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 6/10/24 through 6/14/24. 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.
June 14, 2024 - Strategic Allocation
In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months. To investigate, we… Keep Reading
June 13, 2024 - Equity Premium, Volatility Effects
Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: Invesco S&P 500 Low Volatility Portfolio (SPLV) – the 100 stocks from the S&P 500 Index with the lowest realized volatility over the… Keep Reading
June 12, 2024 - Individual Investing, Real Estate
How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census Bureau data. We make the following head-of-household age cohort assumptions: “Less than 35 years” means about age 30. “35 to… Keep Reading