Party in Power and Stock Returns
Past research relating U.S. stock market returns to the party holding the Presidency mostly concludes that Democratic presidents are better for the stock market than Republican presidents. However, the President shares the power conferred by the electo...
Stock Returns Around Memorial Day
...best guess is that any anomalous U.S. stock market behavior around Memorial Day is slight strength one trading day after the holiday, along with extra volatility that day.
Mutual Fund Alpha Momentum [PREMIUM]
Does momentum investing work when implemented via mutual fund alpha? In his February 2012 paper entitled “Short Term Alpha as a Predictor of Future Mutual Fund Performance” (the National Association of Active Investment Managers’ 201...
Combining Sector and Asset Class ETF Momentum [PREMIUM]
A subscriber asked: “Have you looked at combining sector and asset class momentum models? This strategy would add alternative asset classes plus cash to the nine sectors.” A combined strategy encompasses nine sector exchange-traded funds (...
Combining Sector and Style ETF Momentum [PREMIUM]
A subscriber commented and asked: “You compare style ETF momentum to sector ETF momentum in ‘Doing Momentum with Style (ETFs)’. Can you mix style and sector ETFs to form a combined momentum strategy and compare it with the individual ...
Stock Market Valuation Ratio Trends
To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as price-earnings ratio (P/E) and price-dividend ratio. Operating under a belief that such ratios are mea...
Kaeppel’s Sector Seasonality Strategy
A reader suggested looking at the strategy described in “Kaeppel’s Corner: Sector Seasonality” and updated in “Kaeppel’s Corner: Get Me Back, Clarence”. The steps of this calendar-based sector strategy are: Buy Fidel...
Moving Averages and REIT Indexes [PREMIUM]
Does timing based on simple moving averages (SMA) work for U.S. Real Estate Investment Trust (REIT) indexes? If so, which moving average is best? In his March 2012 paper entitled “The Market Timing Power of Moving Averages: Evidence from US REIT ...
Inflation Forecast Update
The Inflation Forecast now incorporates actual total and core Consumer Price Index data for April 2012. The actual total (core) inflation rate for April is slightly lower than (slightly higher than) forecasted. The new actual and forecasted inflation r...
Simple Tests of DBV as Diversifier [PREMIUM]
Does adding a proxy for the currency carry trade among developed economies (long futures on three currencies with the highest interest rates and short futures on three currencies with the lowest interest rates) to a diversified portfolio improve its pe...
New “Currency Trading” Category
There is a new “Currency Trading” category in the list of blog categories above collecting related entries. You May Also Enjoy... New “Strategic Allocation” Category Optimized Currency Trading as Portfolio Diversifier Aggregat...
Dueling Consensus Forecasts of Economic Indicators [PREMIUM]
Which consensus forecast of U.S. economic indicators is best? How does the U.S. equity market react to consensus forecast errors? In their April 2012 paper entitled “Market Reaction to Information Shocks: Does the Bloomberg and Briefing.com Surve...
