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Value Allocations for November 2019 (Final)
Cash TLT LQD SPY
Momentum Allocations for November 2019 (Final)
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Overview and Mitigation of Financial Biases

What are ways to mitigate biases that interfere with rational investment decision-making? In their September 2019 paper entitled “The Psychology of Financial Professionals and Their Clients”, Kent Baker, Greg Filbeck and Victor Ricciardi describe common psychological biases and suggest ways to overcome them. Based on their knowledge and experience, they conclude that:

“Buy These Stocks for 2019” Forward Test

When media recommend stocks, should investors pay attention? To check, we look at performance of stock recommendations for 2019 from December 2018 articles in several publications. Specifically, we test: 10 buy recommendations from InvestorPlace published 12/13/2018. 19 buy recommendations from Kiplinger published 12/7/2018. 8 buy recommendations from Motley Fool published 12/13/2018, 12/21/2018 and 12/22/2018. 10 Keep Reading

Trading U.S. Stocks on Core Earnings

Does careful accounting for transitory expenses in SEC Form 10-Ks provide a better view of future firm/stock performance than that provided by Generally Accepted Accounting Practices (GAAP) earnings per share (EPS)? In their October 2019 paper entitled “Core Earnings: New Data and Evidence”, Ethan Rouen, Eric So and Charles Wang define Core Earnings, which adds Keep Reading

Combine Market Trend and Economic Trend Signals?

A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving average (SMA10) for the broad U.S. stock market. The trend is positive (negative) when the market is above (below) its Keep Reading

Weekly Summary of Research Findings: 11/4/19 – 11/8/19

Below is a weekly summary of our research findings for 11/4/19 through 11/8/19. 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.

Add REITs to SACEVS?

What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a real estate risk premium, derived from the yield on equity Real Estate Investment Trusts (REIT), represented by the FTSE NAREIT Equity REITs Index? To investigate, we apply the SACEVS methodology to the following asset class exchange-traded funds (ETF), plus cash: 3-month Treasury bills (Cash) iShares 20+ Keep Reading

“Best” Indicator Consistency Across Samples

A subscriber inquired whether “The Only Indicator You Will Ever Need” really works. This technical indicator, a form of the Coppock Guide (or curve or indicator), applied to the Dow Jones Industrial Average by Jay Kaeppel, is a multi-parameter composite based on monthly closes as follows: Calculate the asset’s return over the past 11 months. Keep Reading

Are Currency Carry Trade ETFs Working?

Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one essentially dead: PowerShares DB G10 Currency Harvest Fund (DBV) – tracks changes in the Deutsche Bank G10 Currency Future Harvest Index. This index consists of futures Keep Reading

SACEMS Optimization in Depth

The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks the one, two or three of nine asset class proxies with the highest cumulative total returns over a specified lookback interval. A subscriber proposed instead using the optimal intrinsic (time series or absolute) momentum lookback interval for each asset rather than a common lookback Keep Reading

Combine Market Trend and Economic Trend Signals?

A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving average (SMA10) for the broad U.S. stock market. The trend is positive (negative) when the market is above (below) its Keep Reading

Weekly Summary of Research Findings: 10/28/19 – 11/1/19

Below is a weekly summary of our research findings for 10/28/19 through 11/1/19. 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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