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Weekly Summary of Research Findings: 2/26/18 – 3/2/18

March 2, 2018 • Posted in Weekly Summary

Below is a weekly summary of our research findings for 2/26/18 through 3/2/18. 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.

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  • Shorting VXX with Crash Protection
    Evidence from simple tests on available data suggests that long-term Fixed Reset shorting of VXX with or without simple crash protection based on monthly data (Prior Month Positive Rule) may be attractive.
  • Using SVXY to Capture the Volatility Risk Premium
    Evidence from simple tests on available data suggests that holding SVXY with a monthly skim of gains may be an attractive strategy, subject to a reasonably lucky start.
  • The BGSV Portfolio
    Very limited evidence suggests a possible way to exploit a collection of very risky but diversified assets.
  • Timing Bitcoin with SMAs
    Evidence indicates that SMAs are effective timing tools, on a gross basis, for hard-to-value assets such as Bitcoin.
  • Online, Real-time Test of AI Stock Picking?
    Very limited available evidence offers little support belief that, at present, an AI-based equity fund can beat the market.
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