Weekly Summary of Research Findings: 1/14/19 – 1/18/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 1/14/19 through 1/18/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Adjust the SACEMS Lookback Interval? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index (EEM) iShares MSCI EAFE Index (EFA) SPDR Gold Shares (GLD) iShares Russell 2000 More

Combining Fundamental Analysis and Portfolio Optimization [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Can stock return forecasts from fundamental analysis make conventional mean-variance stock portfolio optimization work? In their December 2018 paper entitled “Optimized Fundamental Portfolios”, Matthew Lyle and Teri Yohn construct a portfolio that combines fundamentals-based stock return forecasts and mean-variance optimization and then compare results with portfolios from each employed separately. To suppress implementation costs, they focus on long-only portfolios More

Trend Following: Momentum or Moving Average? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Are moving averages or intrinsic (time series) momentum theoretically better for following trends in asset prices? In their November 2018 paper entitled “Trend Following with Momentum Versus Moving Average: A Tale of Differences”, Valeriy Zakamulin and Javier Giner compare from a theoretical perspective effectiveness of four popular trend following rules: Intrinsic Momentum – buy (sell) when the More

Momentum and Bubble Stocks [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do “bubble” stocks (those with high shorting demand and small borrowing supply) exhibit unconventional momentum behaviors? In their December 2018 paper entitled “Overconfidence, Information Diffusion, and Mispricing Persistence”, Kent Daniel, Alexander Klos and Simon Rottke examine how momentum effects for bubble stocks differ from conventional momentum effects. They each month sort stocks into groups independently as follows: More

Weekly Summary of Research Findings: 1/7/19 – 1/11/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 1/7/19 through 1/11/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Inflation Forecast Update


This post is by Steve LeCompte from CXO Advisory


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The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for December 2018. The actual total (core) inflation rate for December is lower than (about the same as) forecasted.

Robustness of SACEMS Based on Sharpe Ratio [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Subscribers have asked whether risk-adjusted returns might work better than raw returns for ranking Simple Asset Class ETF Momentum Strategy (SACEMS) assets. In fact, “Alternative Momentum Metrics for SACEMS?” supports belief that Sharpe ratio beats raw returns. Is this finding strong enough to justify changing the strategy, which each month  selects the best performers over a specified More

Pump-and-Dump Participation/Losses


This post is by Steve LeCompte from CXO Advisory


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A “pump-and-dump” scheme promoter: (1) builds a position in a stock (often a thinly traded penny stock); (2) gooses its price by spreading misleading information; and, (3) liquidates the position once the stock reaches. Who responds to such schemes and what are their returns? In the December 2018 revision of their paper entitled “Who Falls Prey More

Aggregate Patent Value as Stock Return Predictor [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Is value of a firm’s patents a reliable predictor of its stock returns? In their November 2018 paper entitled “Patent-to-Market Premium”, Jiaping Qiu, Kevin Tseng and Chao Zhang investigate firm patent-to-market (PTM) ratio (percentage of market value attributable to patents) as a predictor of stock returns. They specify PTM ratio for each firm as follows: Measure stock reaction More

Does Active Stock Factor Timing/Tilting Work? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Does active stock factor exposure management boost overall portfolio performance? In their November 2018 paper entitled “Optimal Timing and Tilting of Equity Factors”, Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp explore benefits for global stock portfolios of two types of active factor allocation: Factor timing – exploit factor premium time series predictability based on economic indicators More

Does Active Stock Factor Timing/Tilting Work? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Does active stock factor exposure management boost overall portfolio performance? In their November 2018 paper entitled “Optimal Timing and Tilting of Equity Factors”, Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp explore benefits for global stock portfolios of two types of active factor allocation: Factor timing – exploit factor premium time series predictability based on economic indicators More

Momentum and Stock Return Dispersion [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Is stock price momentum an imperfect proxy for sensitivity of individual stocks to past dispersion of returns across stocks (zeta risk, or return dispersion)? In their November 2018 paper entitled “Market Risk and the Momentum Mystery”, James Kolari and Wei Liu investigate relationships between momentum and return dispersion as predictors of individual U.S. stock returns. They employ More

Weekly Summary of Research Findings: 12/31/18 – 1/4/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 12/31/18 through 1/4/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Is CAPE Optimal for Market Valuation, and Useful? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Does Cyclically-Adjusted Price-to-Earnings ratio (CAPE, or P/E10) usefully predict stock portfolio returns? In their October 2017 paper entitled “The Many Colours of CAPE”, Farouk Jivraj and Robert Shiller examine validity and usefulness of CAPE in three ways: (1) comparing predictive accuracies of CAPE at different horizons to those of seven competing valuation metrics (ratios of an income proxy More

Momentum Strategy, Value Strategy and Trading Calendar Updates


This post is by Steve LeCompte from CXO Advisory


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We have updated monthly Simple Asset Class ETF Momentum Strategy (SACEMS) winners and associated performance data at “Momentum Strategy”. We have updated monthly Simple Asset Class ETF Value Strategy (SACEVS) allocations and associated performance data at “Value Strategy”. We have also updated performance data for the “Combined Value-Momentum Strategy”. We have updated the “Trading Calendar” to More

Preliminary Momentum Strategy and Value Strategy Updates


This post is by Steve LeCompte from CXO Advisory


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The home page, “Momentum Strategy” and “Value Strategy” now show preliminary Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) positions for January 2019. For SACEMS, the top three positions are unlikely to change by the close. For SACEVS, allocations may shift modestly at the close.

SACEVS with SMA Filter [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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“SACEMS with SMA Filter” examines whether applying a simple moving average (SMA) filter to  “Simple Asset Class ETF Momentum Strategy” (SACEMS) winners improves strategy performance. Does such a filter improve performance of the “Simple Asset Class ETF Value Strategy” (SACEVS), which seeks diversification across the following three asset class exchange-traded funds (ETF) plus cash according to the relative valuations More

Weekly Summary of Research Findings: 12/24/18 – 12/28/18 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 12/24/18 through 12/28/18. 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. More

Managing Asset Class Exposures with Leveraged ETFs [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Are there advantages to using leveraged exchange-traded funds (ETF) to implement conventional asset class exposures? In their October 2018 paper entitled “A Portfolio of Leveraged Exchange Traded Funds”, William Trainor, Indudeep Chhachhi and Chris Brown investigate performance of diversified portfolios of 2X or 3X leveraged ETFs that limit exposures to those typically achieved with 1X ETFs. Specifically, when More