A subscriber asked whether traders should enter a position in gold, as proxied by SPDR Gold Shares (GLD), whenever Commercial gold futures traders are net long and Non-commercial gold future traders (Speculators) are net short....
Investors arguably expect that investments generate returns in excess of the inflation rate. Do different measures of the inflation rate indicate materially different yield discounts? To investigate, we relate 12-month trailing S&P 500 annual operating...
Are firms offering products and services purported to mitigate climate change compelling investments? In the February 2022 revision of their paper entitled “Climate Solutions Investments”, Alexander Cheema-Fox, George Serafeim and Hui Wang analyze international reports,...
Below is a weekly summary of our research findings for 2/28/22 through 3/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Why do the alphas generated by historical simulations/backtests disappear in live trading, with asset managers and brokers the only winners via fees and commissions. In their February 2022 paper entitled “Where’s the Beef?”, Robert Arnott,...
What best explains the decades-long pattern of strong overnight and weak intraday returns in most equity markets? In his January 2022 paper entitled “They Still Haven’t Told You”, Bruce Knuteson reviews possible explanations for this...
A subscriber asked whether the optimal momentum ranking (lookback) interval for the “Simple Asset Class ETF Momentum Strategy” (SACEMS) shrinks during bear markets for U.S. stocks. To investigate, we compare SACEMS monthly performance statistics when...
Below is a weekly summary of our research findings for 2/22/22 through 2/25/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
...evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future...
What is the overall best way to weight stock portfolios? In their February 2022 paper entitled “Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios”, Wei Dai, Namiko Saito and Gigi Wang...
Below is a weekly summary of our research findings for 2/14/22 through 2/18/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Using quarterly data in their April 2013 paper entitled “Analyzing Federal Reserve Asset Purchases: From Whom Does the Fed Buy?” Seth Carpenter, Selva Demiralp, Jane Ihrig and Elizabeth Klee find that some categories of investors...
Below is a weekly summary of our research findings for 2/7/22 through 2/11/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What happens after extreme up days or extreme down days for the U.S. stock market? To investigate, we define extreme up or down days as those with daily returns at least X standard deviations above...
Do stocks of firms focused on luxury goods outperform those of more prosaic companies? In his June 2019 paper entitled “Demand-Driven Risk and the Cross-Section of Expected Returns”, Alejandro Lopez-Lira examines aggregate performance of firms...
A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we use a 10-month simple moving...
Does the number of factors significantly predicting next-month stock returns vary substantially over time? If so, what accounts for the variation? In their December 2021 paper entitled “Time Series Variation in the Factor Zoo”, Hendrik...
Below is a weekly summary of our research findings for 1/31/22 through 2/4/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber suggested expanding and modifying the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS) to consist of the following exchange-traded funds (ETF): SPDR Portfolio S&P 500 Growth (SPYG) SPDR Portfolio S&P 500 Value...
Are some passive exchange-trade-fund (ETF) managers more efficient than others in adjusting to changes in underlying benchmark indexes? In the December 2021 revision of his paper entitled “Should Passive Investors Actively Manage Their Trades?”, Sida...
How do returns of different asset classes recently interact with uncertainty in government economic policy as quantified by the Economic Policy Uncertainty (EPU) Index? This index at the beginning of each month incorporates from the...
Below is a weekly summary of our research findings for 1/24/22 through 1/28/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A non-fungible token (NFT) is a way to record, verify and track on a blockchain ownership of a unique physical or digital asset such as a work of art, a futures contract, a music score,...
Below is a weekly summary of our research findings for 1/18/22 through 1/21/22. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the labor force participation rate, measured monthly by the U.S. Bureau of Labor Statistics along with employment and unemployment rate, predict U.S. stock market returns? An increasing (decreasing) participation rate may may indicate strong...