Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for May 2024 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for May 2024 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Investing Research

Weekly Summary of Research Findings: 5/20/24 – 5/24/24

Below is a weekly summary of our research findings for 5/20/24 through 5/24/24. 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.

Are Equity Index Covered Call ETFs Working?

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call (XYLD) – seeks to track BXM. Global X NASDAQ 100… Keep Reading

Is Gold Overpriced?

Is the price of gold too high? In their May 2024 paper entitled “Is There Still a Golden Dilemma?”, Claude Erb and Campbell Harvey revisit their golden dilemma, the tug of war between dueling ideas: A high price for gold today presages low future return. The higher the price of gold today, the rosier its… Keep Reading

Are Equity Momentum ETFs Working?

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider nine momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco Dorsey Wright Momentum ETF (PDP) – invests at least 90% of assets in approximately 100 U.S. common stocks per a proprietary methodology… Keep Reading

Review of a Long-short Treasuries ETF Timing Strategy

After seeing “Review of the Quantified Market Psychology Strategy”, reader Steve Ruoff requested review of his U.S. Treasuries timing strategy as recorded at Timertrac (Duration Strategy), which approximately every four weeks generates allocations to: Direxion Daily 7-10 Year Treasury Bull 3X Shares (TYD); Direxion Daily 7-10 Year Treasury Bear 3X Shares (TYO); and cash, for which… Keep Reading

Stock Returns Around Memorial Day

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Weekly Summary of Research Findings: 5/13/24 – 5/17/24

Below is a weekly summary of our research findings for 5/13/24 through 5/17/24. 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.

Update of a Lumber/Gold Risk-on/Risk-off Strategy

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

Summary of Research on Social Media and Financial Markets

What does the body of research say about implications of new social media for financial markets? In their April 2024 paper entitled “Social Media and Finance”, Anthony Cookson, William Mullins and Marina Niessner survey research on social media in finance, distinguishing between research using social media to explore investor behaviors and research on the effects… Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for April 2024. The actual total (core) inflation rate is a little lower than (lower than) forecasted.

Testing IFED ETNs

“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances since inception of two exchange-traded note (ETN) offerings: ETRACS IFED Invest with the Fed TR Index ETN (IFED), with SPDR… Keep Reading

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