Given anxiety among investors about the rapid rise of U.S. public debt, are U.S. Treasuries fairly valued? In his July 2024 paper entitled “A Historical Perspective on US Treasuries Risk Premia”, Olivier Davanne describes factors driving the U.S. Treasuries yield curve and explains how to gauge beliefs of market participants. He extracts investor rate expectations… Keep Reading

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. SACEMS rankings this month are so close that post-close ETF price adjustments could affect them. If so, we… Keep Reading

Below is a weekly summary of our research findings for 11/25/24 through 11/29/24. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2024. SACEMS rankings are close and could change by the early close. SACEVS allocations are unlikely to change by the early close.

How do exchange-traded-funds (ETF) that employ artificial intelligence (AI) to pick assets perform? To investigate, we consider ten such ETFs, eight of which are currently available: Amplify AI Powered Equity ETF (AIEQ) – picks U.S. stocks based on a quantitative model that runs on the IBM Watson platform. QRAFT AI-Enhanced U.S. Large Cap ETF (QRFT)… Keep Reading

A subscriber requested review of “Accelerating Dual Momentum [ADM] Investing”, which allocates all funds to U.S. stocks, international (ex-U.S.) small-capitalization stocks or long-term U.S. Treasury bonds, as follows: Each month, calculate for each of the two equity assets the sum of its 1-month, 3-month and 6-month past returns. If both sums are negative, buy U.S…. Keep Reading

Success of dynamic asset class allocations assumes that expected asset class returns, return riskiness and investor risk aversion change at least somewhat predictably over time. Are individual investors truly better off with dynamic (rather than static) allocations? In their October 2024 paper entitled “Victor Meets the Bogleheads: Comparing Static versus Dynamic Asset Allocation”, Victor Haghani… Keep Reading

Is U.S. equity market valuation outrunning its productive value? For perspective, we compare the trajectories of S&P 500 (SP500) index, earnings and dividends over recent decades and look at some potential explanations for divergences. Using quarterly SP500 data and 10-year U.S. Treasury note (T-note) yield during March 1988 through September 2024 and Shiller data as… Keep Reading

Below is a weekly summary of our research findings for 11/18/24 through 11/22/24. 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.

Does the Thanksgiving holiday, a time of families celebrating plenty, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the three trading days before and the three trading days after the holiday. Using daily closing levels of the… Keep Reading