Does choice of multi-asset portfolio rebalance date(s) materially affect performance? In their October 2018 paper entitled “Rebalance Timing Luck: The Difference Between Hired and Fired”, Corey Hoffstein, Justin Sibears and Nathan Faber investigate effects of varying portfolio rebalance...
Below is a weekly summary of our research findings for 2/11/19 through 2/15/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers asked whether risk parity might work better than equal weighting of winners within the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month selects the best performers over a specified lookback interval from among the...
How well do mutual funds exploit theoretical (academic) equity factor premiums, and how well do investors exploit such exploitation? In their January 2019 paper entitled “Factor Investing from Concept to Implementation”, Eduard Van Gelderen, Joop Huij and Georgi...
Personal residences represent the largest asset class allocation for many U.S. investors. What return do they generate, how do their returns relate to stock market returns and how do they vary across Metropolitan Statistical Areas...
Below is a weekly summary of our research findings for 2/4/19 through 2/8/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Robustness of SACEMS Based on Sharpe Ratio”, a subscriber asked whether Martin ratio might work better than raw returns and Sharpe ratio for ranking assets within the Simple Asset Class ETF Momentum Strategy...
Larry Swedroe and Kevin Grogan introduce their 2019 book, Your Complete Guide to a Successful and Secure Retirement, as follows: “…failure to plan is to plan to fail. While so many of us have carefully planned our education,...
Do expert investors (institutional stock portfolio managers) add value both by buying future outperforming stocks and by selling future underperforming stocks? In their December 2018 paper entitled “Selling Fast and Buying Slow: Heuristics and Trading...
Below is a weekly summary of our research findings for 1/28/19 through 2/1/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are some types of cars attractive alternative investments? In their September 2018 paper entitled “My Kingdom for a Horse (or a Classic Car)”, Dries Laurs and Luc Renneboog investigate price determinants and investment performance of classic cars...
In response to “SACEMS with SMA Filter”, a subscriber suggested instead crash protection via momentum breadth (proportion of assets with positive momentum) by: Switching to 100% cash when fewer than four of eight Simple Asset Class...
A subscriber inquired about a “hot hand” strategy that each year picks the top performer from a family of diversified equity mutual funds (not including sector funds) and holds that winner the next year. To...
Do investors systematically undervalue stocks that have relatively large book-to-market fluctuations? In their December 2018 paper entitled “The Value Uncertainty Premium”, Turan Bali, Luca Del Viva, Menna El Hefnawy and Lenos Trigeorgis test whether book-to-market volatility relates positively to future...
Below is a weekly summary of our research findings for 1/22/19 through 1/25/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Might purveyors of trading strategies be presenting performance results biased by stopping them when falsely successful? In other words, might they be choosing lucky closing conditions for reported positions? In the December 2018 revision of...
Failure rate, the conventional metric for evaluating retirement portfolios, does not distinguish between: (1) failures early versus late in retirement; or, (2) small and large surpluses (bequests). Is there a better way to evaluate retirement...
Do unconventional portfolio construction techniques obscure how, and how well, betting against beta (BAB) works? In their November 2018 paper entitled “Betting Against Betting Against Beta”, Robert Novy-Marx and Mihail Velikov revisit the BAB factor, focusing on interpretation...
Below is a weekly summary of our research findings for 1/14/19 through 1/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index...
Can stock return forecasts from fundamental analysis make conventional mean-variance stock portfolio optimization work? In their December 2018 paper entitled “Optimized Fundamental Portfolios”, Matthew Lyle and Teri Yohn construct a portfolio that combines fundamentals-based stock return forecasts and mean-variance...
Are moving averages or intrinsic (time series) momentum theoretically better for following trends in asset prices? In their November 2018 paper entitled “Trend Following with Momentum Versus Moving Average: A Tale of Differences”, Valeriy Zakamulin and Javier...
Do “bubble” stocks (those with high shorting demand and small borrowing supply) exhibit unconventional momentum behaviors? In their December 2018 paper entitled “Overconfidence, Information Diffusion, and Mispricing Persistence”, Kent Daniel, Alexander Klos and Simon Rottke examine how...
Below is a weekly summary of our research findings for 1/7/19 through 1/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers have asked whether risk-adjusted returns might work better than raw returns for ranking Simple Asset Class ETF Momentum Strategy (SACEMS) assets. In fact, “Alternative Momentum Metrics for SACEMS?” supports belief that Sharpe ratio beats raw returns....