Investing Research Articles

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

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.

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 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. 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

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

Below is a weekly summary of our research findings for 5/17/20 through 5/22/20. 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.

“Chicago Fed ANFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior… Keep Reading

Referring to “Chicago Fed NFCI as U.S. Stock Market Predictor”, a subscriber asked whether the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may work better as a U.S. stock market predictor. ANFCI “isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to… Keep Reading

“Chicago Fed NFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior change in… Keep Reading