Daily Archives: Nov 22, 2019 at 07:05 am EST

Research Review | 22 November 2019 | Factor Investing Strategies

ETF Momentum
Frank Weikai Li (Singapore Management University), et al.
October 12, 2019
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum survives multiple adjustments for transaction costs, it may be difficult to arbitrage as the profits are volatile and concentrated in ETFs with high idiosyncratic volatility or that hold low-analyst-coverage stocks.
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Macro Briefing | 22 November 2019

Bridgewater, world’s largest hedge fund, bets big on market drop: WSJ
Eurozone economy virtually stagnant for third month in Nov: IHS Markit
UK economy contracting at deepest rate in three years in Nov: IHS Markit
Japan’s economic activity is essentially flat in Nov: IHS Markit
Negotiations on NAFTA successor roll on; vote possible in weeks ahead: NY Times
US Leading Economic Index fell for the third month in October: CB
Existing home sales in US rose 1.9% in October: WSJ
Philly Fed’s regional mfg index posted stronger growth in November: Philly Fed
US jobless claims held steady at five-month high last week: CNBC
US business cycle index (ADS) rebounds after falling close to recession signal: