Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for December 2022 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for December 2022 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Investing Research

Shorting Costs Kill Stock Return Anomalies?

Do stock borrowing fees (shorting costs) inherent in long-short strategies constructed to exploit stock return anomalies kill those anomalies? In their September 2022 paper entitled “Anomalies and Their Short-Sale Costs”, Dmitriy Muravyev, Neil Pearson and Joshua Pollet investigate effects of shorting costs on gross profits generated by published stock return anomalies. Since shorting costs are… Keep Reading

SACEMS, SACEVS and Trading Calendar Updates

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for November 2022.

Preliminary SACEMS and SACEVS Allocation Updates

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2022. The top three SACEMS allocations could change by the close. SACEVS allocations probably will not change. Recall “SACEMS with Three Copies of Cash”.

Ranking SACEMS Assets with Unadjusted Returns

A subscriber, wondering if past returns unadjusted by dividends (capital gains/losses only) more accurately reflect relative momentum than dividend-adjusted returns, asked about performance of the Simple Asset Class ETF Momentum Strategy (SACEMS) with assets ranked by unadjusted returns. To investigate, we compare performance statistics for SACEMS Top 1, equal-weighted (EW) Top 2 and EW Top… Keep Reading

Reliable U.S. Equity Market Oscillations?

Do annual stock market swing returns swing around their average like a pendulum? In the November update of his 2022 paper entitled “Periodic Structure of Equity Market Annual Returns and Their Predictability”, Daniel Pinelis investigates whether annual returns of the S&P 500 Index and the NASDAQ Composite Index exhibit reliable periodicity. Specifically, he models an… Keep Reading

Test of Some Motley Fool Public Stock Picks

A reader asked: “I am wondering how come you have not rated Motley Fool guys. Any insight?” To augment the test of Motley Fool public stock picks in “‘Buy These Stocks for 2019’ Forward Test”, we look at two more lists of stock picks: “10 Top Stocks That Will Make You Richer in 2021” with… Keep Reading

Weekly Summary of Research Findings: 11/21/22 – 11/25/22

Below is a weekly summary of our research findings for 11/21/22 through 11/25/22. 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.

Substituting IYH for SPY in SACEMS

Based on high return correlation with the S&P 500 Index and strong past performance of the health care sector, a subscriber suggested replacing SPDR S&P 500 ETF Trust (SPY) with iShares U.S. Healthcare ETF (IYH) in the Simple Asset Class ETF Momentum Strategy (SACEMS). To investigate, we compare performance statistics for SACEMS Top 1, equal-weighted… Keep Reading

Combining SMA10 and P/E10 Signals

In response to the U.S. stock market timing backtest in “Usefulness of P/E10 as Stock Market Return Predictor”, a subscriber suggested combining a 10-month simple moving average (SMA10) technical signal with a P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) fundamental signal. Specifically, we test: SMA10 – bullish/in stocks (bearish/in cash) when prior-month stock index level… Keep Reading

Sector Breadth as Market Return Indicator

Does breadth of equity sector performance predict overall stock market return? To investigate, we relate next-month stock market return to sector breadth (number of sectors with positive past returns) over lookback intervals ranging from 1 to 12 months. We consider the following nine sector exchange-traded funds (ETF) offered as Standard & Poor’s Depository Receipts (SPDR):… Keep Reading

Using One Third 3X Funds for Some SACEMS Assets

A subscriber suggested implementing several Simple Asset Class ETF Momentum Strategy (SACEMS) asset class proxies with allocations consisting of one third triple-leveraged (3X) versions of the proxies and two thirds cash, thereby accruing the targeted risk asset returns plus some return on cash. Specifically: Whenever SPDR S&P 500 ETF Trust (SPY) is a winner, implement… Keep Reading

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