Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for April 2021 (Final)

Momentum Investing Strategy (Strategy Overview)

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

Testing for Trends in Trending for U.S. Stocks and Bonds

November 19, 2020 • Posted in Bonds, Equity Premium

“Market Impacts of Growth in Target Date Funds” summarizes research on potential market-wide effects of periodic rebalancing actions of Target Date Funds (TDF), which trade against momentum. One piece of evidence is that monthly autocorrelation of S&P 500 Index returns is significantly negative during 2010-2019 but not during 1986-1995 or 1996-2005. Another is that TDFs accomplish most of quarterly rebalancing within the next quarter. To assess how convincing autocorrelation findings are, we calculate rolling 5-year monthly (60-month) and quarterly (20-calendar quarter) autocorrelations of returns for:

Using monthly total (dividend-reinvested) returns for these three assets through October 2020, we find that: (more…)

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

Daily Email Updates