Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for March 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for March 2021 (Final)
1st ETF 2nd ETF 3rd ETF

Ascendance of Automated ETF Allocation Models

| | Posted in: Strategic Allocation

Investors seeking low-cost, automated, tax-efficient and potentially alpha-generating solutions increasingly follow model portfolios of exchange-traded funds (ETF). Is there a top-down way to characterize those models? In their November 2020 paper entitled "Using Data Science to Identify ETF Model Followers", Ananth Madhavan and Aleksander Sobczyk apply machine learning methods and cluster analysis to identify all models using at least three iShares ETFs based on monthly holdings data. Using monthly data on positions and accounts holding those positions across all iShares ETFs (370 at the end of the sample period) during January 2013 through June 2020, they find that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)