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...
A subscriber inquired whether “The Only Indicator You Will Ever Need” really works. This technical indicator, a form of the Coppock Guide (or curve or indicator), applied to the Dow Jones Industrial Average by Jay...
The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks the one, two or three of nine asset class proxies with the highest cumulative total returns over a specified lookback interval. A subscriber proposed...
A subscriber requested review of an analysis concluding that combining economic trend and market trend signals enhances market timing performance. Specifically, per the example in the referenced analysis, we look at combining: The 10-month simple moving...
Below is a weekly summary of our research findings for 10/28/19 through 11/1/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader asked about the usefulness of the S&P Short-range Oscillator as sometimes used by Jim Cramer to forecast U.S. stock market returns. The self-reported “Performance” of the oscillator, relying on in-sample visual inspection with...
Below is a weekly summary of our research findings for 10/21/19 through 10/25/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader requested review of the Decision Moose asset allocation framework. Decision Moose is “an automated stock, bond, and gold momentum model developed in 1989. Index Moose uses technical analysis and exchange traded index funds...
Is the conventional wisdom that exchange-traded funds (ETF) are efficient, low-cost alternatives to mutual funds correct? In their September 2019 paper entitled “The Performance of Exchange-Traded Funds”, David Blitz and Milan Vidojevic evaluate the performance...
How can investment strategy researchers best address the randomness inherent in market data and the ability of investors/markets to adapt to changing conditions? In his September 2019 paper entitled “Tactical Investment Algorithms”, Marcos Lopez de...
Below is a weekly summary of our research findings for 10/14/19 through 10/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is there a way that asset managers can share knowledge/data across proprietary boundaries with many researchers to advance development of investment strategies? In their September 2019 paper entitled “Crowdsourced Investment Research through Tournaments”, Marcos Lopez...
The following list links to summaries of recent (since 2010) investment research using long data samples. These summaries may be helpful in developing strategic allocations and tactical wariness for long-horizon investments. “Commodity Futures Risk Premium...
Below is a weekly summary of our research findings for 10/7/19 through 10/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are long run returns for commodity futures? In their September 2019 paper entitled “The Commodity Futures Risk Premium: 1871-2018”, Geetesh Bhardwaj, Rajkumar Janardanan and Geert Rouwenhorst estimate the historical risk premium of commodity futures...
Do bonds have a bad rap based on an unfavorable subsample? In the September 2019 revisions of his papers entitled “The US Bond Market Before 1926: Investor Total Return from 1793, Comparing Federal, Municipal, and...
How does a shift in emphasis from active to passive investing affect the financial market risk landscape? In their September 2019 paper entitled “The Shift From Active to Passive Investing: Potential Risks to Financial Stability?”,...
Where can investors find a large catalog of trading strategies spanning asset classes? In the September 2019 update of their paper entitled “151 Trading Strategies”, Zura Kakushadze and Juan Andres Serur make freely available their...
Below is a weekly summary of our research findings for 9/30/19 through 10/4/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the best way to avoid stock momentum portfolio crashes? In her July 2019 paper entitled “Momentum with Volatility Timing”, Yulia Malitskaia tests a long-only volatility-timed stock momentum strategy that exits holdings when strategy...
Below is a weekly summary of our research findings for 9/23/19 through 9/27/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Stock Market and the National Election Cycle” examines the behavior of the U.S. stock market across the U.S. presidential term cycle (years 1, 2, 3 or 4) starting in 1950. Is a longer sample informative?...
Can investors identify stocks that incorporate news slowly enough to allow exploitation? In their August 2019 paper entitled “Tomorrow’s Fish and Chip Paper? Slowly Incorporated News and the Cross-Section of Stock Returns”, Ran Tao, Chris...
Why has value investing (long undervalued stocks and short overvalued stocks) performed poorly since 2007? Is it dead, or will it recover? In their August 2019 paper entitled “Explaining the Demise of Value Investing”, Baruch...
Below is a weekly summary of our research findings for 9/16/19 through 9/20/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...