Weekly Summary of Research Findings: 7/17/17 – 7/21/17 [PREMIUM]

Below is a weekly summary of our research findings for 7/17/17 through 7/21/17. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Covered Equity Index Calls Worldwide [PREMIUM]

How well do stock index covered call strategies work across markets worldwide? In their June 2017 paper entitled “Covering the World: Global Evidence on Covered Calls”, Roni Israelov, Matthew Klein and Harsha Tummala test covered call strategies for 11 global equity indexes. They measure overall returns and return contributions from equity exposure, short volatility exposure and equity timing. More

Best Index Options to Sell? [PREMIUM]

Which short index options offer the best overall performance? In their June 2017 paper entitled “Which Index Options Should You Sell?”, Roni Israelov and Harsha Tummala explore return and risk properties of short delta-hedged out-of-the-money S&P 500 Index put and call options of various moneyness and maturities. They consider moneyness of -2.5 to +1.0 standard deviations relative to the More

Trend Following with Intrinsic Momentum over the Very Long Run [PREMIUM]

Does time series (intrinsic or absolute) return momentum work everywhere all the time? In their June 2017 paper entitled “A Century of Evidence on Trend-Following Investing”, Brian Hurst, Yao Ooi and Lasse Pedersen investigate the robustness of intrinsic momentum across 67 assets over 137 years. Robustness tests address subperiods, market return/volatility states and economic conditions. They rely mostly More

Weekly Summary of Research Findings: 7/10/17 – 7/14/17 [PREMIUM]

Below is a weekly summary of our research findings for 7/10/17 through 7/14/17. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for June 2017. The actual total (core) inflation rate for June is lower than (about the same as) forecasted.

Sector Alpha Momentum Strategy? [PREMIUM]

Is recent Fama-French 5-factor alpha (accounting for market, size, book-to-market, profitability and investment risks) a useful predictor of U.S. equity sector performance? In other words, is there an alpha momentum anomaly at the sector level? In their June 2017 paper entitled “US Sector Rotation with Five-Factor Fama-French Alphas”, Golam Sarwar, Cesario Mateus and Natasa Todorovic examine 5-factor alphas of More