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

| | Posted in: Miscellaneous

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.

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  • Combine Market Trend and Economic Trend Signals?
    Available evidence suggests that UR:SMA12 plus SP500:SMA10 is effective for timing the U.S. stock market during 2000-2010, but results for other decades back to 1950 are mixed.
  • SACEMS Optimization in Depth
    Evidence indicates that, ignoring snooping bias, optimization of SACEMS lookback intervals by individual asset class proxy (optimization-in-depth) may be attractive. Available data do not support out-of-sample testing rigorous enough to mitigate concern about snooping bias.
  • Are Currency Carry Trade ETFs Working?
    Available evidence on attractiveness of currency carry trade ETF/ETNs is negative.
  • “Best” Indicator Consistency Across Samples
    Evidence from tests on tradable U.S. equity index proxies over different available sample periods mostly does not support belief that the Coppock Guide as specified is a “best” (or even good) indicator.
  • Add REITs to SACEVS?
    Evidence from the available sample period suggests that adding an equity real estate risk premium to SACEVS offers little or no benefit.
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