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3044 Research Articles

SACEMS Applied to Mutual Funds

A subscriber inquired whether a longer test of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) is feasible using mutual funds rather than exchange-traded funds (ETF) as asset class proxies. To investigate, we consider the following set of mutual funds (partly adapted from the paper summarized in “Asset Allocation Combining Momentum, Volatility, Correlation and Crash Protection”): Vanguard Total Stock… Keep Reading

Review of Dual Momentum with Just Three Assets

A subscriber suggested 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

Very Simple Asset Class ETF Momentum Strategy (VSACEMS)

A subscriber requested evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT) iShares iBoxx $ Investment Grade Corporate Bond (LQD) To evaluate, we test a strategy that each month picks the one… Keep Reading

Stock Returns Around Memorial Day

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Weekly Summary of Research Findings: 5/17/21 – 5/21/21

Below is a weekly summary of our research findings for 5/17/21 through 5/21/21. 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.

Return Recency as Stock Return Predictor Worldwide

Does the recency effect evident for U.S. stock returns carry over to stocks globally? In their May 2021 paper entitled “Chronological Return Ordering and the Cross-Section of International Stock Returns”, Nusret Cakici and Adam Zaremba examine whether the recency effects holds among stocks worldwide. Their measure of recency (Chronological Return Ordering, CRO) for each stock… Keep Reading

Return Recency as U.S. Stock Return Predictor

Do naive investors overvalue (undervalue) stocks with relatively high (low) recent returns, thereby causing exploitable overpricing (underpricing)? In the April 2019 version of his paper entitled “The Impact of Recency Effects on Stock Market Prices”, Hannes Mohrschladt devises and tests a measure of this recency effect based on correlation between daily returns during a month… Keep Reading

Are Equity Index Covered Call ETFs Working?

Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call (XYLD) – seeks to track BXM. Global X NASDAQ 100… 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: Invesco 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 Equity Momentum ETFs Working?

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