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Investing Research Articles

2800 Research Articles

Rational Uses of Leveraged and Inverse ETPs

What are rational uses of leveraged and inverse exchange-traded products (ETP), which offer easy access to amplified positions in various benchmark indexes spanning stocks, bonds, commodities and volatility? In their April 2020 paper entitled “Levered and Inverse ETPs: Blessing or Curse?”, Colby Pessina and Robert Whaley review the mechanics of leveraged and inverse ETPs, simulate… Keep Reading

Tech Premium Boost for Simplest Asset Class Momentum Strategy?

In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months. To investigate, we… Keep Reading

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

SACEMS, SACEVS and Trading Calendar Updates

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 May 2020.

Weekly Summary of Research Findings: 5/26/20 – 5/29/20

Below is a weekly summary of our research findings for 5/26/20 through 5/29/20. 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.

Preliminary SACEMS and SACEVS Allocation Updates

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for June 2020. SACEMS rankings are unlikely to change by the close. SACEVS allocations are currently sensitive to yields and S&P 500 Index level, so they may shift a little by the close.

SACEMS at Weekly and Biweekly Frequencies

A subscriber asked for an update on whether weekly or biweekly (every two weeks) measurement of asset class momentum works better than monthly measurement as used in “Simple Asset Class ETF Momentum Strategy (SACEMS)” (SACEMS). Do higher measurement frequencies respond more efficiently to market turns? To investigate, we compare performances of strategies based on monthly,… Keep Reading

Are Low Volatility Stock ETFs Working?

Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: PowerShares S&P 500 Low Volatility Portfolio (SPLV) – the 100 stocks from the S&P 500 Index with the lowest realized volatility over the… Keep Reading

Are U.S. Equity Momentum ETFs Working?

Are U.S. stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five momentum-oriented U.S. equity ETFs with assets over $100 million, all currently available, in order of longest to shortest available histories: PowerShares DWA Momentum Portfolio (PDP) – invests at least 90% of assets in approximately 100 U.S. common… Keep Reading

10-month vs. 40-week vs. 200-day SMA

A reader proposed: “I would love to see a backtest pitting a 10-month simple moving average (SMA) against a 200-day SMA for SPDR S&P 500 (SPY). I assume trading costs would go through the roof on the latter, but do performance gains offset additional costs?” Others asked about a 40-week SMA. To investigate, we use… Keep Reading