Alternative Asset Class ETF Momentum Allocations [PREMIUM]
A subscriber suggested an alternative to the ”Simple Asset Class ETF Momentum Strategy” that weights asset class ETFs according to six-month lagged return ranking (such as 35-25-20-10-4-3-2-1) rather than allocating all funds to the win...
Simple Asset Class ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of the “Simple Asset Class ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following eig...
Simple Asset Class ETF Momentum Strategy [PREMIUM]
Does a simple momentum strategy applied to tradable asset class proxies produce attractive results? To investigate, we test a simple strategy on the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Trac...
Doing Momentum with Style (ETFs) Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of “Doing Momentum with Style (ETFs)” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following six style exchan...
Doing Momentum with Style (ETFs) [PREMIUM]
“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their...
Hedges/Shorting to Exploit Sector ETF Momentum? [PREMIUM]
Readers have proposed several hedging/shorting variations for “Simple Sector ETF Momentum Strategy Performance”, as follows: (1) buy the top and hedge with (short) the bottom sector based on past six-month return; (2) buy the top sector bas...
Alternative Sector ETF Momentum Metrics [PREMIUM]
Readers have suggested three alternative metrics for the strategy tested in the “Simple Sector ETF Momentum Strategy Performance”: (1) Sharpe Ratio over the past six months; (2) slope of price over the past six months; and, (3) average of t...
Alternative Sector ETF Momentum Metrics [PREMIUM]
Readers have suggested three alternative metrics for the strategy tested in the “Simple Sector ETF Momentum Strategy Performance”: (1) Sharpe Ratio over the past six months; (2) slope of price over the past six months; and, (3) average of t...
Simple Sector ETF Momentum Strategy Robustness/Sensitivity Tests [PREMIUM]
How sensitive is the performance of the “Simple Sector ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than six months? This strategy each month ranks the following nine sect...
Simple Sector ETF Momentum Strategy [PREMIUM]
Do simple momentum trading strategies applied to major U.S. stock market sectors outperform reasonable benchmarks? To investigate, we apply three simple momentum strategies to the nine sector exchange-traded funds (ETF) defined by the Select Sector Sta...
Stock Market and the National Election Cycle [PREMIUM]
Many stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in th...
Unemployment Rate and Stock Returns
The business media and expert commentators sometimes cite the U.S. unemployment rate as an indicator of economic and stock market health, generally interpreting a jump (drop) in the unemployment rate as bad (good) for stocks. Is this indicator in fact ...
