August 10, 2022 - Momentum Investing, Strategic Allocation
Should investors consider complex exchange-traded fund (ETF) momentum strategies with flexible sets of choices for offensive and defensive stances and a separate short-term decision tool for choosing a stance? In his July 2022 paper entitled “Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)”, Wouter Keller examines a (BAA-G12) strategy that… Keep Reading
August 9, 2022 - Bonds, Gold
A subscriber asked whether there are any lead-lag relationships between gold, proxied by SPDR Gold Shares (GLD), and 10-year U.S. Treasury note (T-note) yields. As a proxy for the latter, we use iShares 7-10 Year Treasury Bond ETF (IEF). Using daily and monthly dividend-adjusted prices for GLD and IEF during mid-November 2004 (limited by GLD)… Keep Reading
August 8, 2022 - Strategic Allocation
The four iShares Core Asset Allocation exchange-traded funds (ETF) offer exposures to U.S. stocks, global stocks and bonds semiannually rebalanced to fixed weights, as follows. iShares Core Conservative Allocation (AOK) – 30% stocks and 70% bonds (30-70). iShares Core Moderate Allocation (AOM) – 40% stocks and 60% bonds (40-60). iShares Core Growth Allocation (AOR) –… Keep Reading
August 5, 2022 - Miscellaneous
Below is a weekly summary of our research findings for 8/1/22 through 8/5/22. 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.
August 5, 2022 - Bonds, Equity Premium
Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading
August 4, 2022 - Investing Expertise, Mutual/Hedge Funds, Volatility Effects
Is past rolling maximum drawdown, a simple measure of recent downside risk, a useful indicator of future mutual fund performance? In their June 2022 paper entitled “Maximum Drawdown as Predictor of Mutual Fund Performance and Flows”, Timothy Riley and Qing Yan investigate whether style-adjusted maximum drawdown based on daily returns over the last 12 months… Keep Reading
August 3, 2022 - Economic Indicators, Gold
Why have inflation, economic uncertainty and geopolitical uncertainty not driven up the price of gold? In their brief May 2022 commentary entitled “Why Isn’t the Gold Price Higher?”, Paul Gambles and James Fraser review the times when gold is, and is not, a good investment. Based on historical gold prices, with focus on recent decades,… Keep Reading
August 2, 2022 - Animal Spirits, Investing Expertise
Do presumably expert early-stage startup investors, whether individuals (Angels) or institutions (Venture Capitalists) invest efficiently? In his June 2022 paper entitled “Predictably Bad Investments: Evidence from Venture Capitalists”, Diag Davenport applies machine learning methods based on information known at the time of investment to evaluate decisions of early-stage investors. He defines early-stage investments as equity… Keep Reading
August 1, 2022 - Bonds, Equity Premium
How should global investors assess country sovereign bond and equity risks? In his July 2022 paper entitled “Country Risk: Determinants, Measures and Implications – The 2022 Edition”, Aswath Damodaran examines country risk from multiple perspectives. To estimate a country risk premium, he considers measurements of both country government bond risk and country equity risk. Based… Keep Reading
July 29, 2022 - Calendar Effects, Momentum Investing, Strategic Allocation
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 2022.