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...
Is investor attraction to high-reward/high-risk (lottery) stocks a crucial contributor to stock return anomalies? In their May 2020 paper entitled “Lottery Preference and Anomalies”, Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu aggregate 16...
Are published studies that predict higher returns for some U.S. stocks and lower for others based on firm accounting, stock trading and other data reproducible? In their May 2020 paper entitled “Open Source Cross-Sectional Asset...
What are the roles of changes in earnings forecasts and the discount rate on stock valuation during the COVID-19 stock market crash? In the May 2020 update of their paper entitled “Earnings Expectations in the...
Does multi-class investing boost performance for sophisticated investors such as educational endowments? In his June 2020 paper entitled “Endowment Performance and the Demise of the Multi-Asset-Class Model”, Richard Ennis examines recent performance of educational endowment...
Are widely accepted equity factor exposures available in fact to investors via “smart beta” mutual funds and exchange-traded funds (ETF)? In their May 2020 paper entitled “Smart Beta Made Smart”, Andreas Johansson, Riccardo Sabbatucci and...
Below is a weekly summary of our research findings for 6/22/20 through 6/26/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way to mitigate adverse impact of price trajectory turning points (trend changes) on performance of intrinsic (absolute or time series) momentum strategies? In their May 2020 paper entitled “Breaking Bad Trends”, Ashish...