Weekly Summary of Research Findings: 9/17/18 – 9/21/18 [PREMIUM]

Below is a weekly summary of our research findings for 9/17/18 through 9/21/18. 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

A Few Notes on Muscular Portfolios

Brian Livingston introduces his 2018 book, Muscular Portfolios: The Investing Revolution for Superior Returns with Lower Risk, as follows: “What we laughingly call the financial ‘services’ industry is a cesspool filled with sharks intent on siphoning your money away and making it their own. The good news is that it is absolutely possible to grow your savings More

Simple Currency ETF Momentum Strategy [PREMIUM]

Do exchange-traded funds (ETF) that track major currencies support a relative momentum strategy? To investigate, we consider the following four ETFs: Invesco DB US Dollar Bullish (UUP) Invesco CurrencyShares Euro Currency (FXE) Invesco CurrencyShares Japanese Yen (FXY) WisdomTree Chinese Yuan Strategy (CYB) We each month rank these ETFs based on past return over lookback intervals More

Weekly Summary of Research Findings: 9/10/18 – 9/14/18 [PREMIUM]

Below is a weekly summary of our research findings for 9/10/18 through 9/14/18. 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

Cass Freight Index a Stock Market Return Predictor? [PREMIUM]

The monthly Cass Freight Index is a “measure of North American freight volumes and expenditures. …Data within the Index includes all domestic freight modes and is derived from $25 billion in freight transactions processed by Cass annually on behalf of its client base of hundreds of large shippers. These companies represent a broad sampling of industries including consumer packaged goods, food, More

Inflation Forecast Update

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for August 2018. The actual total (core) inflation rate for August is slightly lower than (lower than) forecasted.

Best Profitability Metric for Predicting Stock Returns? [PREMIUM]

Is there a best way for investors to measure firm profitability for global stock selection? In their August 2018 paper entitled “Constructing a Powerful Profitability Factor: International Evidence”, Matthias Hanauer and Daniel Huber investigate which measure of firm profitability best predicts associated stock returns. They consider six measures: return on equity; gross profitability; operating profitability calculated in More

Actual Global Stock Trading Frictions [PREMIUM]

How, and how well, do institutional equity traders manage global stock trading frictions? In the April 2018 draft of their paper entitled “Trading Costs”, Andrea Frazzini, Ronen Israel and Tobias Moskowitz examine the real-world trading frictions of a large trader. They define trading frictions as the difference in results between a theoretical portfolio with zero frictions and a More

A Few Notes on The Wealth Elite

Rainer Zitelmann prefaces his 2018 book, The Wealth Elite: A Groundbreaking Study of the Psychology of the Super Rich, as follows: “For this book, I succeeded in convincing 45 wealthy people to talk to me. …Without exception, the interviewees were entrepreneurs or investors… The interviews were conducted in person between September 2015 and March 2016, and each lasted More

Asset Class ETF Interactions with the Yuan [PREMIUM]

How do different asset classes interact with the Chinese yuan-U.S. dollar exchange rate? To investigate, we consider relationships between WisdomTree Chinese Yuan Strategy (CYB) and the following exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging More

Weekly Summary of Research Findings: 9/4/18 – 9/7/18 [PREMIUM]

Below is a weekly summary of our research findings for 9/4/18 through 9/7/18. 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

Asset Class ETF Interactions with the Yen [PREMIUM]

How do different asset classes interact with the Japanese yen-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Japanese Yen (FXY) and the following exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging More

Asset Class ETF Interactions with the Euro [PREMIUM]

How do different asset classes interact with euro-U.S. dollar exchange rate ? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the following exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets More

Asset Class ETF Interactions with the U.S. Dollar [PREMIUM]

How do different asset classes interact with aggregate U.S. dollar valuation? To investigate, we consider relationships between Powershares DB US Dollar Index Bullish Fund (UUP) and the following exchange-traded fund (ETF) asset class proxies used in “Simple Asset Class ETF Momentum Strategy” (SACEMS) at a monthly measurement frequency: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI More

PPI and the Stock Market

Inflation at the producer level (derived from the Producer Price Index – PPI) is arguably an advance indicator for inflation downstream at the consumer level (derived from the Consumer Price Index – CPI). Do investors therefore reliably react to changes in PPI as an indicator of the future wealth discount rate? In other words, is More

Momentum Strategy, Value Strategy and Trading Calendar Updates

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

Weekly Summary of Research Findings: 8/27/18 – 8/31/18 [PREMIUM]

Below is a weekly summary of our research findings for 8/27/18 through 8/31/18. 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

Preliminary Momentum Strategy and Value Strategy Updates

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 September 2018. For SACEMS, the top three positions are very unlikely to change by the close. For SACEVS, allocations are very unlikely to change by the close.

SACEMS with Different Alternatives for “Cash” [PREMIUM]

Do alternative “Cash” (deemed risk-free) instruments materially affect performance of the“Simple Asset Class ETF Momentum Strategy” (SACEMS)? Changing the proxy for Cash can affect how often the model selects Cash, as well as the return on Cash when selected. To investigate, we test separately each of the following yield and exchange-traded funds (ETF) as the risk-free More

Downside Risk Premiums [PREMIUM]

Does focusing on downside risk (volatility or beta) consistently produce more accurate forecasts of asset returns? In their July 2018 paper entitled “Tail Risk in the Cross Section of Alternative Risk Premium Strategies”, Bernd Scherer and Nick Baltas investigate how well downside risk explains cross-sectional returns of 260 risk factor strategies spanning asset classes and investment styles More