Creating and Maintaining Antifragile Portfolios [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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How should investors manage their portfolios to withstand market crashes. In his March 2019 paper entitled “Managing the Downside of Active and Passive Strategies: Convexity and Fragilities”, Raphael Douady discusses how to construct an “antifragile” portfolio given that most equity market risk is not readily observable. He describes ways to monitor the probability of a Keep Reading

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Expert Estimates of 2019 Country Equity Risk Premiums and Risk-free Rates


This post is by Steve LeCompte from CXO Advisory


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What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their March 2019 paper entitled “Market Risk Premium and Risk-free Rate Used for 69 Countries in 2019: A Survey”, Pablo Fernandez, Mar Martinez and Isabel Acin summarize results of a February-March 2019 email survey of international finance/economic professors, analysts Keep Reading

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Weekly Summary of Research Findings: 4/15/19 – 4/18/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 4/15/19 through 4/18/19. 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. Keep Reading

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Optimal Retirement Glidepath with Trend Following [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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What are optimal allocations during retirement years for a portfolio of stocks and bonds, without and with a trend following overlay? In their March 2019 paper entitled “Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios from 1925”, Andrew Clare, James Seaton, Peter Smith and Steve Thomas compare outcomes across two sets Keep Reading

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Neural Network Software Valuation of Fine Art [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Given the uniqueness of fine art objects and uncertainties in demand (at auctions), can investors in paintings get accurate estimates of market values of holdings and potential acquisitions? In their March 2019 paper entitled “Machines and Masterpieces: Predicting Prices in the Art Auction Market”, Mathieu Aubry, Roman Kräussl, Gustavo Manso and Christophe Spaenjers compares accuracies Keep Reading

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Sophisticated Simulation of Intrinsic (Time Series) Momentum [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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How can investors confidently assess risk of strategy crashes (tail events) when there are so few crashes even in long samples? In their March 2019 paper entitled “Time-Series Momentum: A Monte-Carlo Approach”, Clemens Struck and Enoch Cheng present a Monte-Carlo simulation procedure for strategy backtesting that both preserves time series and cross-sectional return characteristics while Keep Reading

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Risk Premium Allocation Tail Diversification [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do exposures to long-short factor (alternative risk) premiums (ARP) protect portfolios from stock and bond market crashes? In their February 2019 paper entitled “A Framework for Risk Premia Investing: Anywhere to Hide?”, Kari Vatanen and Antti Suhonen examine weekly correlations of 28 ARP composite returns with those of stocks (MSCI World Equity Market Index), bonds Keep Reading

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Weekly Summary of Research Findings: 4/8/19 – 4/12/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 4/8/19 through 4/12/19. 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. Keep Reading

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Cautions Regarding Findings Include… [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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What are common cautions regarding exploitation of academic and practitioner papers on financial markets? To investigate, we collect, collate and summarize our cautions on findings from papers reviewed over the past year. These papers are survivors of screening for relevance to investors of a much larger number of papers, mostly from the Financial Economics Network Keep Reading

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Equity Factor Census


This post is by Steve LeCompte from CXO Advisory


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Should investors trust academic equity factor research? In their February 2019 paper entitled “A Census of the Factor Zoo”, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top academic journals and working papers through January 2019, including a link to citation and download information. They distinguish among six Keep Reading

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Weekly Summary of Research Findings: 4/1/19 – 4/5/19 [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Below is a weekly summary of our research findings for 4/1/19 through 4/5/19. 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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Asset Class Short-term Momentum Over the Long Run [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do assets other than individual stocks exhibit a short-term (1-month) reversal effect? In their February 2019 paper entitled “Short-Term Momentum (Almost) Everywhere”, Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long investigate short-term return predictability within long run global samples spanning five asset classes: equity indexes, government bonds, treasury bills, commodity futures and currencies. Each month they More

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Mutual Fund Investors Irrationally Naive?


This post is by Steve LeCompte from CXO Advisory


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Do retail investors rationally account for risks as modeled in academic research when choosing actively managed equity mutual funds? In their March 2019 paper entitled “What Do Mutual Fund Investors Really Care About?”, Itzhak Ben-David, Jiacui Li, Andrea Rossi and Yang Song investigate whether simple, well-known signals explain active mutual fund investor behavior better than More

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Alternative Beta Live [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Have long-short alternative beta (style premium) strategies worked well in practice? In their February 2019 paper entitled “A Decade of Alternative Beta”, Antti Suhonen and Matthias Lennkh use actual performance data to assess alternative beta strategies across asset classes from the end of 2007 through the end of 2017, including quantification of fees and potential More

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Academia Creating Anomalies? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Does widespread investor acceptance of the capital asset pricing model (CAPM) of stock returns drive undervaluation of stocks with low past alphas? In his February 2019 paper entitled “The Unintended Impact of Academic Research on Asset Returns: The CAPM Alpha”, Alex Horenstein examines whether such acceptance distorts the U.S. stock market. Specifically, he each year at the More

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Stocks Plus Trend Following Managed Futures? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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A subscriber asked about an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures as recommended in a 2014 Greyserman and Kaminski book [Trend Following with Managed Futures: The Search for Crisis Alpha], suggesting Equinox Campbell Strategy I (EBSIX) as an accessible managed futures fund. To investigate, we consider not only EBSIX More

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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

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Weekly Summary of Research Findings: 3/25/19 – 3/29/19 [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 3/25/19 through 3/29/19. 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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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 April 2019. For SACEMS, the top two positions are unlikely to change by the close, but third place could change. For SACEVS, allocations are unlikely to change.

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