Why have U.S. public pension, endowment and other non-profit funds (institutional investors) consistently underperformed simple, investible passive benchmarks since 2008? How should they remedy that underperformance? In his April 2021 paper entitled “How to Improve...
What drives the price of gold: inflation, interest rates, stock market behavior, public sentiment? To investigate, we relate monthly and annual spot gold return to changes in: Non-seasonally adjusted Consumer Price Index (CPI). Nominal and real...
A subscriber provided promotional materials for, and requested assessment of, the Artemis Capital Management Dragon portfolio. General allocations for this portfolio are: 24% to secular growth such as U.S. and international stocks. 21% to “long...
Below is a weekly summary of our research findings for 6/14/21 through 6/18/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In view of research indicating that overnight (close-to-open) returns are on average significantly higher than open-to-close returns, a subscriber proposed an enhancement to the Simple Asset Class ETF Momentum Strategy (SACEMS), as follows: Instead of...
Below is a weekly summary of our research findings for 6/7/21 through 6/11/21. 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 Fama-French 5-factor model (market, size, book-to-market, profitability, investment) of stock returns work for stocks worldwide? In their May 2021 paper entitled “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really...
Is firm book value-to-market price ratio (B/M) obsolete due to growing importance of intangible assets? Is it still widely used by institutional investors? In their May 2021 paper entitled “Going by the Book: Valuation Ratios...
Does failure to replicate dampen interest in previously published research? In their May 2021 paper entitled “Non-replicable Publications Are Cited More Than Replicable Ones”, Marta Serra-Garcia and Uri Gneezy use results of three recent replication...
Below is a weekly summary of our research findings for 6/1/21 through 6/4/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are non-fungible tokens (NFT) the future of music and art valuation? In his April 2021 early/incomplete draft entitled “Virtual Art and Non-fungible Tokens”, Lawrence Trautman describes the new market for digital art, explores the evolution...
Is periodic rebalancing of a stock portfolio advantageous? In his May 2021 paper entitled “Does Volatility Harvesting Really Work?”, Magnus Pedersen compares performances of periodic rebalancing versus no rebalancing (buy-and-hold) for thousands of randomly constructed...
Is the known weakening of stock anomalies after publication due more to in-sample overfitting by researchers or post-publication exploitation by arbitrageurs (market adaptation)? In their May 2021 paper entitled “Why and How Systematic Strategies Decay”,...
Can investors detect when commodity futures momentum, value and carry (basis) strategies are crowded and therefore likely to generate relatively weak returns? In the March 2021 version of their paper entitled “Crowding and Factor Returns”,...
Below is a weekly summary of our research findings for 5/24/21 through 5/28/21. 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 inquired whether a longer test of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) is feasible using mutual funds rather than exchange-traded funds (ETF) as asset class proxies. To investigate, we consider the following set of mutual...
Below is a weekly summary of our research findings for 5/17/21 through 5/21/21. 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 recency effect evident for U.S. stock returns carry over to stocks globally? In their May 2021 paper entitled “Chronological Return Ordering and the Cross-Section of International Stock Returns”, Nusret Cakici and Adam Zaremba...
Do naive investors overvalue (undervalue) stocks with relatively high (low) recent returns, thereby causing exploitable overpricing (underpricing)? In the April 2019 version of his paper entitled “The Impact of Recency Effects on Stock Market Prices”,...
Below is a weekly summary of our research findings for 5/10/21 through 5/14/21. 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 conventional wisdom to “Sell in May” (and “Buy in November”, hence also the term “Halloween Effect”) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check,...
Is buy-the-dip (BTD) a reliably attractive stock market timing approach? In their April 2021 paper entitled “Buy the Dip”, Thomas Shohfi and Majeed Simaan devise and test various BTD strategies as applied to SPDR S&P...
How can retirees estimate whether their investment strategy will sustain all the withdrawals they expect to make in retirement? In his February 2021 paper entitled “The Sustainability of (Global) Withdrawal Strategies”, Javier Estrada presents two...
Below is a weekly summary of our research findings for 5/3/21 through 5/7/21. 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 review of the “SPY-TLT Universal Investment Strategy”, which each day allocates 100% of funds to SPDR S&P 500 (SPY) and/or iShares 20+ Year Treasury Bond (TLT) with SPY-TLT allocations equal to that...