Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for August 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for August 2021 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Investing Research

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 July 2021.

Weekly Summary of Research Findings: 7/26/21 – 7/30/21

Below is a weekly summary of our research findings for 7/26/21 through 7/30/21. 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.

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 August 2021. SACEVS allocations probably will not change by the close. However, SACEMS competitions between first and second, and third and fourth, places are close.

Testing the EFA-SPY-TLT-PBBBX EW Strategy

A subscriber asked about the performance of a strategy that each month rebalances to 25% international equities, 25% U.S. equities, 25% U.S. Treasuries and 25% BBB bonds, and how this performance compares to that of a portfolio that each month allocates 50% to Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% to… Keep Reading

Post-discovery Effects on Anomaly Return Sequence

Does anomaly publication lead to its speedy exploitation? In his March 2021 paper entitled “The Race to Exploit Anomalies and the Cost of Slow Trading”, Guy Kaplanski studies a sample of widely accepted U.S. stock return anomalies to determine how discovery and publication of an anomaly affects the timing of future returns. He quantifies anomalies… Keep Reading

Momentum and Reversal Drivers for Large U.S. Stocks

What drives 12-month (with skip-month) momentum and 1-month reversal effects among U.S. common stock returns?  In their July 2021 paper entitled “Mapping out Momentum”, Yimou Li and David Turkington decompose momentum and reversal effects into distinct industry/sector, factor (size, value, profitability, investment) and stock-specific contributions. In addition to full-sample results, they look at: High and… Keep Reading

U.S. Stock Market Returns Around Scheduled FOMC Meetings

A subscriber requested testing of a strategy that buys SPDR S&P 500 (SPY) at the open on the day before each scheduled Federal Open Market Committee (FOMC) meeting and sells at the close. Using daily dividend-adjusted SPY open and close prices and dates of FOMC meetings during January 2016 through June 2021 (43 meetings), we… Keep Reading

Unemployment Rate and Stock Market Returns

Financial media and expert commentators often cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Conversely, investors may interpret a falling unemployment rate as a trigger for increases in the Federal Reserve target interest rate (and… Keep Reading

Weekly Summary of Research Findings: 7/19/21 – 7/23/21

Below is a weekly summary of our research findings for 7/19/21 through 7/23/21. 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.

Employment and Stock Market Returns

U.S. job gains or losses receive prominent coverage in the monthly financial news cycle, with media and expert commentators generally interpreting employment changes as an indicator of future economic and stock market health. One line of reasoning is that jobs generate personal income, which spurs personal consumption, which boosts corporate earnings and lifts the stock… Keep Reading

Are ESG ETFs Attractive?

Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of seven ESG ETFs, all currently available, to those of simple and liquid benchmark ETFs, as follows: iShares MSCI USA ESG Select ETF (SUSA), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading

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