Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2021 (Fiinal)
1st ETF 2nd ETF 3rd ETF

Recent Investing Research

SACEMS Portfolio-Asset Addition Testing

Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS) boost performance via consideration of more trending/diversifying options? To investigate, we add the following 24 ETF/ETN asset class proxies one at a time to the base set and measure effects on the Top 1, equally weighted (EW)… Keep Reading

SACEMS Portfolio-Asset Exclusion Testing

Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) necessary? Might one or more of them actually be harmful to performance? To investigate, we each month rank the nine SACEMS assets based on past return with one excluded (nine separate test series) and reform the… Keep Reading

PPI and the Stock Market

Inflation at the producer level (per the Producer Price Index, PPI) is arguably an advance indicator for inflation downstream at the consumer level (per the Consumer Price Index, CPI). Do investors reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is a high (low) producer-level inflation… Keep Reading

Weekly Summary of Research Findings: 6/7/21 – 6/11/21

Below is a weekly summary of our research findings for 6/7/21 through 6/11/21. 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.

Review of the Golden Butterfly Portfolio

A subscriber requested review of the Golden Butterfly (GB) portfolio, which assigns equal weights to the total stock market, small-capitalization value stocks, long-term government bonds, short-term government bonds and gold. To investigate, we use the following exchange-traded funds (ETF) as asset class proxies, respectively: Vanguard Total Stock Market Index Fund (VTI) iShares S&P Small-Cap 600… Keep Reading

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for May 2021. The actual total (core) inflation rate is much higher than (much higher than) forecasted.

Fama-French 5-factor Model and Global Stocks

Does the Fama-French  5-factor model (market, size, book-to-market, profitability, investment) of stock returns work for stocks worldwide? In their May 2021 paper entitled “Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?”, Nusret Cakici and Adam Zaremba test the performance of the 5-factor model in global developed markets. They consider big… Keep Reading

Book-to-Market Ratio Failing But Still Loved

Is firm book value-to-market price ratio (B/M) obsolete due to growing importance of intangible assets? Is it still widely used by institutional investors? In their May 2021 paper entitled “Going by the Book: Valuation Ratios and Stock Returns”, Ki-Soon Choi, Eric So and Charles Wang examine continuing of B/M for value investing and implications of… Keep Reading

Interesting vs. Exploitable

Does failure to replicate dampen interest in previously published research? In their May 2021 paper entitled “Non-replicable Publications Are Cited More Than Replicable Ones”, Marta Serra-Garcia and Uri Gneezy use results of three recent replication studies to compare citation rates for papers published in top psychology, economics and general science journals that fail to replicate… Keep Reading

Home Prices and the Stock Market

…data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock returns.

Weekly Summary of Research Findings: 6/1/21 – 6/4/21

Below is a weekly summary of our research findings for 6/1/21 through 6/4/21. 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.

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