Below is a weekly summary of our research findings for 9/28/15 through 10/2/15. 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.
October 2, 2015
October 2, 2015
Are annual stock market winning and losing streaks informative about future market performance? To investigate, we consider up and down annual streaks for the Dow Jones Industrial Average (DJIA). We look at streaks in two ways:
- Retrospective (non-overlapping). We know the total duration of each streak.
- Experienced (real-time and partially overlapping). We know each year how long a streak has lasted, but we don’t know when it will end.
Using DJIA annual returns for 1929 through 2014 (86 years), we find that: Keep Reading
We have updated the the monthly asset class ETF value strategy weights and associated performance data at Value Strategy.
The home page and “Value Strategy” now show preliminary asset class ETF value strategy positions for October 2015. There may be small shifts in allocations based on final data, but the “Best Value” selection is unlikely to change.
October 1, 2015
Does expansion (contraction) of consumer credit indicate growing (shrinking) corporate sales, earnings and ultimately stock prices? The Federal Reserve collects and publishes U.S. consumer credit data on a monthly basis with a delay of about five weeks. Using monthly seasonally adjusted total U.S. consumer credit for January 1943 through July 2015 and monthly Dow Jones Industrial Average (DJIA) closes for January 1943 through August 2015 (871-872 months), we find that: Keep Reading
We have updated the the monthly asset class ETF momentum winners and associated performance data at Momentum Strategy.
We have updated the Trading Calendar to incorporate data for September 2015.
The home page and “Momentum Strategy” now show preliminary asset class ETF momentum strategy positions for October 2015. The difference in past returns between third and fourth places is large, so the top three are very unlikely to change by the close.
Risk-averse investors following the strategy may want to consider the findings in “SACEMS with Three Copies of Cash”.
Robert Carver introduces his 2015 book, Systematic Trading: A Unique New Method for Designing Trading and Investing Systems, by stating that: “I don’t believe there is any magic system that will automatically make you huge profits, and you should be wary of anyone who says otherwise, especially if they want to sell it to you. Instead, success in systematic trading is mostly down to avoiding common mistakes such as over complicating your system, being too optimistic about likely returns, taking excessive risks, and trading too often. I will help you avoid these errors. This won’t guarantee returns, but it will make failure less likely. My framework…can be adapted to meet your needs. …Each element of the framework has been carefully designed… I’ll explain the available options, which I prefer, and why.” Based on his experience as a trader/portfolio manager and specific research, he concludes that: Keep Reading