Are portfolios of U.S. stocks that are double-sorted to capture benefits of two complementary return anomalies attractive? In their July 2020 paper entitled “Interacting Anomalies”, Karsten Müller and Simon Schmickler test all possible double-sorted portfolios...
A subscriber asked for a comparison of two 50%-50% monthly rebalanced combinations of Simple Asset Class ETF Value Strategy (SACEVS) and Simple Asset Class ETF Momentum Strategy (SACEMS) portfolios, as follows: 50-50 Best Value +...
Below is a weekly summary of our research findings for 8/17/20 through 8/21/20. 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 asked whether forcing the Simple Asset Class ETF Momentum Strategy (SACEMS) to agree with the Simple Asset Class ETF Value Strategy (SACEVS) when the latter assigns zero weight to stocks or government bonds...
Below is a weekly summary of our research findings for 8/10/20 through 8/14/20. 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 real (inflation-adjusted) price of gold indicate future gold return? If so, what is the current indication? In their August 2020 paper entitled “Gold, the Golden Constant, COVID-19, ‘Massive Passives’ and Déjà Vu”, Claude...
Do stocks added to major indexes, such as the S&P 500 Index, exhibit exceptionally strong subsequent returns? In their July 2020 paper entitled “Does Joining the S&P 500 Index Hurt Firms?”, Benjamin Bennett, René Stulz...
Below is a weekly summary of our research findings for 8/3/20 through 8/7/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the nominal incentive fee charge by hedge funds (typically 20% of profits exceeding a previous high-water mark) representative of the actual aggregate incentive fee paid by fund investors? In the July 2020 revision of...
Can individual investors make a living by day trading? In the June 2020 update of their paper entitled “Day Trading for a Living?”, Fernando Chague, Rodrigo De-Losso and Bruno Giovannetti analyze performances of all Brazilian...
How should investors evaluate the effectiveness of a safe haven asset? In their July 2020 paper entitled “A Safe Haven Index”, Dirk Baur and Thomas Dimpfl devise and apply a safe haven index (SHI) to...
Below is a weekly summary of our research findings for 7/27/20 through 7/31/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Will machine learning revolutionize asset management? In their January 2020 paper entitled “Can Machines ‘Learn’ Finance?”, Ronen Israel, Bryan Kelly and Tobias Moskowitz identify and discuss unique challenges in applying machine learning to asset return...
Below is a weekly summary of our research findings for 7/20/20 through 7/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is a 10-month simple moving average (SMA10) the best SMA for long-term crossing signals? If not, is there some other optimal SMA lookback interval? To check, we compare performance statistics for SMA crossing signals generated...
Do returns for “smart beta” indexes, constructed to exploit research on one or more factors that predict individual stock returns, reliably predict returns for exchange-traded funds (ETF) introduced to track them? In the June 2020...
Below is a weekly summary of our research findings for 7/13/20 through 7/17/20. 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, citing the weekly record of S&P 500 earnings growth estimates in the “FactSet Earnings Insight” historical series, wondered whether estimate trends/revisions are exploitable. To investigate, we collect S&P 500 quarterly year-over-year earnings growth estimates...
How should investors think about the interactions between working years (retirement account contributions) and retirement years (retirement account withdrawals)? In his June 2020 paper entitled “Retirement Planning: From Z to A”, Javier Estrada integrates working...
Are government bond returns exploitably predictable? In their June 2020 paper entitled “Predicting Bond Returns: 70 Years of International Evidence”, Guido Baltussen, Martin Martens and Olaf Penninga examine predictability of international 10-year government bond returns...
Can machine learning (ML) algorithms improve stock picking? In the May 2020 version of their paper entitled “Stock Picking with Machine Learning”, Dominik Wolff and Fabian Echterling apply ML to insights from financial research to...
The Trading Calendar presents cumulative return visualizations for the S&P 500 Index across the calendar year and across each calendar month. Three alternative perspectives on U.S. stock market performance by calendar month are: (1) percentage...
Below is a weekly summary of our research findings for 7/6/20 through 7/10/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Most stock data sources present Total Return (TR), 100% reinvestment of dividends with no participation in firm rights issuances and share issuances/repurchases, as representative of investment performance. An alternative perspective is Total Return for All...
Do interest rate effects explain/predict the poor performance of value stocks over the past decade, and especially during 2017 through early 2020? In their May 2020 paper entitled “Value and Interest Rates: Are Rates to...