Joint Fundamental and Technical Analysis [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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What kinds of fundamental and technical indicators play well together? In their August 2018 paper entitled “When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis”, Zhaobo Zhu and Licheng Sun test performance of six stock portfolios that jointly exploit one of three popular fundamental indicators and one of two popular technical indicators, More

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Weekly Summary of Research Findings: 3/18/19 – 3/22/19 [PREMIUM]

Below is a weekly summary of our research findings for 3/18/19 through 3/22/19. 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

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Weekly Summary of Research Findings: 3/11/19 – 3/15/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Below is a weekly summary of our research findings for 3/11/19 through 3/15/19. 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

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Relative Wealth Effects on Investors [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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How does investor competitiveness (a goal of relative rather than absolute wealth) affect optimal allocations? In their February 2019 paper entitled “The Growth of Relative Wealth and the Kelly Criterion”, Andrew Lo, Allen Orr and Ruixun Zhang compare optimal portfolios for maximizing relative wealth versus absolute wealth at both short and long investment horizons. They define an individual’s More

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SACEMS Top 1 Mean Reversion? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Subscribers asked whether the monthly winner (Top 1) of the Simple Asset Class ETF Momentum Strategy (SACEMS) is more prone to mean reversion than momentum, thereby justifying its exclusion from or lower weight within SACEMS portfolios. SACEMS each month picks winners from the following universe of eight asset class exchange-traded funds (ETF), plus cash: PowerShares More

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Inflated Expectations of Factor Investing [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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How should investors feel about factor/multi-factor investing? In their February 2019 paper entitled “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing”, Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa explore three critical failures of U.S. equity factor investing: Returns are far short of expectations due to overfitting and/or trade crowding. Drawdowns far exceed expectations. Diversification More

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Weekly Summary of Research Findings: 3/4/19 – 3/8/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Below is a weekly summary of our research findings for 3/4/19 through 3/8/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. More

Country Stock Market Anomaly Momentum [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do country stock market anomalies have trends? In his March 2018 paper entitled “The Momentum Effect in Country-Level Stock Market Anomalies”, Adam Zaremba investigates whether country-level stock market return anomalies exhibit trends (momentum) based on their past returns. Specifically, he: Screens potential anomalies via monthly reformed hedge portfolios that long (short) the equal-weighted or capitalization-weighted fifth More

Testing the All Weather Portfolio [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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A subscriber requested a test of Ray Dalio‘s All Weather (AW) portfolio with different rebalancing frequencies, allocated to exchange-traded funds (ETF) as asset class proxies as follows: 30% – Vanguard Total Stock Market (VTI) 40% – iShares 20+ Year Treasury (TLT) 15% – iShares 7-10 Year Treasury (IEF) 7.5% – SPDR Gold Shares (GLD) 7.5% – More

Tug-of-war Risk and Future Stock Returns [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Does persistence in the difference in direction between overnight stock trading and intraday stock trading behaviors (tug of war) predict future returns? In their January 2019 paper entitled “Overnight Returns, Daytime Reversals, and Future Stock Returns: The Risk of Investing in a Tug of War with Noise Traders”, Ferhat Akbas, Ekkehart Boehmer, Chao Jiang and Paul Koch investigate More

Weekly Summary of Research Findings: 2/25/19 – 3/1/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Below is a weekly summary of our research findings for 2/25/19 through 3/1/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. 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” 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 March 2019. For SACEMS, the top three positions are unlikely to change by the close. For SACEVS, allocations are unlikely to change.

Weekly Summary of Research Findings: 2/19/19 – 2/22/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Below is a weekly summary of our research findings for 2/19/19 through 2/22/19. 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

Global Factor Premiums Over the Very Long Run [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do very old data confirm reliability of widely accepted asset return factor premiums? In their January 2019 paper entitled “Global Factor Premiums”, Guido Baltussen, Laurens Swinkels and Pim van Vliet present replication (1981-2011) and out-of-sample (1800-1908 and 2012-2016) tests of six global factor premiums across four asset classes. The asset classes are equity indexes, government bonds, commodities and More

Rebalance Timing Noise [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Does choice of multi-asset portfolio rebalance date(s) materially affect performance? In their October 2018 paper entitled “Rebalance Timing Luck: The Difference Between Hired and Fired”, Corey Hoffstein, Justin Sibears and Nathan Faber investigate effects of varying portfolio rebalance date on performance. Specifically, they quantify noise (luck) from varying annual rebalance date for a 60% S&P 500 Index-40% 5-year More

Weekly Summary of Research Findings: 2/11/19 – 2/15/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Below is a weekly summary of our research findings for 2/11/19 through 2/15/19. 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

SACEMS with Risk Parity? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Subscribers asked whether risk parity might work better than equal weighting of winners within the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month  selects the best performers over a specified lookback interval from among the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index 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 January 2019. The actual total (core) inflation rate for January is lower than (slightly higher than) forecasted.