2026· International Journal of Education Studies and Social Science Research· 0 citations
Abstract
This research structures and theoretically validates a defensive investment portfolio designed to counteract the historical "September Effect" observed in U.S. equity markets since 1928. Grounded in the Efficient Market Hypothesis and the Betting Against Beta (BAB) anomaly, the study allocates capital across five low-volatility, low-beta instruments—Consumer Staples (XLP), Utilities (XLU), Healthcare (XLV), Gold (GLD), and short-term Treasury bills (BIL)—chosen for their historical resilience during periods of institutional risk aversion. Using a descriptive, non-experimental, documentary, and cross-sectional design, a historical backtest compared the portfolio's weighted returns against the S&P 500 (SPY) benchmark during September 2024 and September 2025. The results show the defensive portfolio generated positive absolute returns of 2.07% and 2.12% in each period, driven mainly by Utilities and Gold. However, the S&P 500 did not experience its traditional seasonal decline, instead rallying with returns of 4.25% and 4.34%, causing the defensive portfolio to underperform the benchmark on a relative basis. These findings indicate that while the BAB-based strategy successfully preserved capital, strong macroeconomic bull-market conditions can override historical seasonal anomalies.
This study empirically analyzes the risk-adjusted performance, volatility, and interdependencies of the Magnificent 7, the S&P 500 (SPY), the Nasdaq-100 (QQQ), and gold (GLD) across distinct economic regimes from 2008 to 2025. Using daily adjusted closing prices, the analysis calculates total and annualized returns, Sh...
Adam Černohorský, Petr Budinský· E+M Ekonomie a Management· 0 citations
We analyzed the relationship between environmental, social, and governance (ESG) metrics, financial risk, and expected returns in the US stock market, using data from S&P 500 companies over the period from 2007 to 2022 using aggregate ESG scores from Refinitiv (LSEG). We employed an empirical approach that combines p...
Gabriel da Rosa Janone, Henrique Pinto Ramos, C. Foguesatto· Business Strategy and the En...· 0 citations
This paper examines the real performance and downside risk of thirteen static multi-asset portfolios across U.S. business-cycle phases from 1930 to 2025. Using 1,149 monthly observations, it analyses equities, U.S. government bonds, gold, silver, real estate investment trusts, and selected portfolio combinations. Reces...
Peter Jurík, Michal Mešťan· Acta Aerarii Publici· 0 citations
Purpose of the study: This study compares the return, risk and recovery profiles of sector indices on the Warsaw Stock Exchange from 2021 to 2025. It also examines how the sectors reacted to Russia's full-scale invasion of Ukraine on 24 February 2022 and whether their immediate response corresponded to their subsequent...
Paweł Błoński· Humanities & Social Scie...· 0 citations
This paper examines the historical and projected equity risk premium (ERP) for the Russian stock market in view of the narrowing investment horizons of market participants and the increasing reliance on domestic resources. The study aims to substantiate the long-term advantages of equity investments. The methodology em...
A. Radygin, A. E. Abramov, M. Chernova· Economic Policy· 0 citations
- This research undertakes an extensive financial statement analysis of 88 companies, comprising the Nasdaq-100 components, over the period 2020 – 2025, including the COVID-19 crisis, the subsequent recovery, and the artificial intelligence-led market rally. We employ a panel data set of profitability, leverage, effici...
Mustapha Bunu Mustapha· Iconic research and engineer...· 0 citations
We use cookies to run the site and, with your consent, for analytics and to show ads.
See our Cookie Policy.
