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Value Allocations for July 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for July 2019 (Final)
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GDX and GDXJ vs. GLD

How are behaviors of physically backed gold and gold miner exchange-traded funds (ETF) similar and different? To investigate we consider SPDR Gold Shares (GLD) versus both Market Vectors Gold Miners (GDX) and VanEck Vectors Junior Gold Miners ETF (GDXJ). Using weekly returns for GDX since May 2006 and GDXJ since November 2009, and contemporaneous weekly returns Keep Reading

Cass Freight Index a Stock Market Return Predictor?

The monthly Cass Freight Index is a “measure of North American freight volumes and expenditures… Data within the Index includes all domestic freight modes and is derived from $28 billion in freight transactions processed by Cass annually on behalf of its client base of hundreds of large shippers. These companies represent a broad sampling of industries Keep Reading

What Kind of Asset Is Bitcoin?

Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 33 exchange-traded products encompassing eight used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS), Keep Reading

Weekly Summary of Research Findings: 7/8/19 – 7/12/19

Below is a weekly summary of our research findings for 7/8/19 through 7/12/19. 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.

Optimal Cycle for Monthly SMA Signals?

…evidence from simple tests on a limited data set suggests that investors using monthly simple moving averages to time the stock market should prefer (avoid) a calculation cycle anchored just after (a few days before) month ends.

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for June 2019. The actual total (core) inflation rate for June is lower than (higher than) forecasted.

Mimicking Portfolios of Five ETFs Beat Most Active Mutual Funds?

Can investors beat a typical active U.S. equity mutual fund via a small portfolio of periodically re-weighted equity exchange-traded funds (ETF)? In their February 2019 paper entitled “Are Passive Funds Really Superior Investments: An Investor Perspective”, flagged by a subscriber, Edwin Elton, Martin Gruber and Andre de Souza: Determine via cluster analysis a small set Keep Reading

Factor Premium Reliability and Timing

How reliable and variable are the most widely accepted long-short factor premiums across asset classes? Can investors time factor premium? In their June 2019 paper entitled “Factor Premia and Factor Timing: A Century of Evidence”, Antti Ilmanen, Ronen Israel, Tobias Moskowitz, Ashwin Thapar and Franklin Wang examine multi-class robustness of and variation in four prominent Keep Reading

Monthly Returns During Presidential and Congressional Election Years

Do hopes and fears of election outcomes in the U.S. affect the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the Dow Jones Industrial Average (DJIA) during years with and without quadrennial U.S. presidential elections and biennial congressional elections. Keep Reading

Optimal Long-Short Stock Momentum Strategies in European Markets

Is there a common optimal set of ranking (lookback) interval, holding interval, weighting scheme and skip-month rule for long-short stock momentum strategies across European country markets? In her May 2019 paper entitled “Are Momentum Strategies Profitable? Recent Evidence from European Markets”, Anastasia Slabchenko identifies optimal parameter sets from 576 long-short stock momentum strategy variations in Keep Reading

Weekly Summary of Research Findings: 7/1/19 – 7/5/19

Below is a weekly summary of our research findings for 7/1/19 through 7/5/19. 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.

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