July 23, 2019
Some traders use a Relative Strength Index (RSI) range to identify trend and RSI extremes to signal turning points. How long should they require that RSI remain in range, and how often should they require that RSI recapture a momentum threshold? In his December 2018 paper entitled “Finding Consistent Trends with Strong Momentum – RSI Keep Reading
July 22, 2019
A subscriber inquired whether a longer test of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) is feasible using mutual funds rather than exchange-traded funds (ETF) as asset class proxies. To investigate, we consider the following set of mutual funds (partly adapted from the paper summarized in “Asset Allocation Combining Momentum, Volatility, Correlation and Crash Protection”): Vanguard Total Stock Keep Reading
July 19, 2019
Below is a weekly summary of our research findings for 7/15/19 through 7/19/19. 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.
July 19, 2019
The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index (EEM) iShares MSCI EAFE Index (EFA) SPDR Gold Shares (GLD) iShares Russell 2000 Keep Reading
July 18, 2019
…evidence from simple tests does not support a belief that there is a best SMA calculation interval for generating crossing signals to exploit long-term stock market trends.
July 17, 2019
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
July 16, 2019
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
July 15, 2019
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
July 12, 2019
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.
July 12, 2019
…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.
July 11, 2019
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.