Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2021 (Final)

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2021 (Fiinal)
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Investing Research Articles

2991 Research Articles

Art as a Crypto-asset

Are non-fungible tokens (NFT) the future of music and art valuation? In his April 2021 early/incomplete draft entitled “Virtual Art and Non-fungible Tokens”, Lawrence Trautman describes the new market for digital art, explores the evolution of the digital world and virtual property, explores NFTs and offers a few thoughts about the future of digital property…. Keep Reading

Stock Portfolio Periodic Rebalancing vs. Buy-and-Hold

Is periodic rebalancing of a stock portfolio advantageous? In his May 2021 paper entitled “Does Volatility Harvesting Really Work?”, Magnus Pedersen compares performances of periodic rebalancing versus no rebalancing (buy-and-hold) for thousands of randomly constructed and initially equal-weighted portfolios of U.S. stocks. He tries different numbers of holdings, different start/end dates and different rebalancing intervals… Keep Reading

Why Stock Anomalies Weaken After Publication

Is the known weakening of stock anomalies after publication due more to in-sample overfitting by researchers or post-publication exploitation by arbitrageurs (market adaptation)? In their May 2021 paper entitled “Why and How Systematic Strategies Decay”, Antoine Falck, Adam Rej and David Thesmar examine the typical post-publication risk-adjusted performance (Sharpe ratio) of U.S. stock anomalies. They… Keep Reading

Factor Crowding in Commodity Futures

Can investors detect when commodity futures momentum, value and carry (basis) strategies are crowded and therefore likely to generate relatively weak returns? In the March 2021 version of their paper entitled “Crowding and Factor Returns”, Wenjin Kang, Geert Rouwenhorst and Ke Tang examine how crowding by commodity futures traders affects expected returns for momentum, value… 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 2021.

Weekly Summary of Research Findings: 5/24/21 – 5/28/21

Below is a weekly summary of our research findings for 5/24/21 through 5/28/21. 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.

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 2021. Allocations probably will not change by the close.

Test of Seasonal Risk Adjustment Strategy

A subscriber requested review of a strategy that seeks to exploit “Sell in May” by switching between risk-on assets during November-April and risk-off assets during May-October, with assets specified as follows: Risk-on – SPDR S&P 500 (SPY), iShares Russell 2000 Index (IWM) and Invesco DWA Technical Leaders (PDP). Risk-off – iShares Barclays 20+ Year Treas Bond… Keep Reading

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