Best U.S. Equity Market Hedge Strategy? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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What steps should investors consider to mitigate impact of inevitable large U.S. stock market corrections? In their May 2019 paper entitled “The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?”, Campbell Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert compare performances of an array of Keep Reading

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Weekly Summary of Research Findings: 6/17/19 – 6/21/19 [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 6/17/19 through 6/21/19. 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

The post Weekly Summary of Research Findings: 6/17/19 – 6/21/19 appeared first on CXO Advisory.

ICO Performance Tendencies [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Are Initial Coin Offerings (ICO), also called token sales or token offerings, typically good investments? ICOs are smart contracts on a blockchain (usually Ethereum) that enable firms to raise money directly from investors. The median time for listing a successful ICO on a token exchange is 42 days. In the May 2019 revision of his Keep Reading

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Weekly Summary of Research Findings: 6/10/19 – 6/14/19 [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 6/10/19 through 6/14/19. 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

The post Weekly Summary of Research Findings: 6/10/19 – 6/14/19 appeared first on CXO Advisory.

Exploiting Chicago Fed NFCI Predictive Power [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




“Chicago Fed NFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior change in Keep Reading

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U.S. Corporate Bond Index Return Model [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Is there a straightforward way to model the returns on U.S. Corporate bond indexes? In his April 2019 paper entitled “Give Credit Where Credit is Due: What Explains Corporate Bond Returns?”, Roni Israelov models returns on these indexes based on four intuitive factors: Positive exposure to government bond yields, quantified via duration-matched government bonds. Keep Keep Reading

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Tax-efficient Retirement Withdrawals [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Considering taxes, in what order should U.S. retirees consume different sources of retirement savings/income? In their August 2018 paper entitled “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts”, James DiLellio and Daniel Ostrov describe and illustrate an algorithm that computes individualized tax-efficient consumption for U.S. retirees of: Keep Keep Reading

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Weekly Summary of Research Findings: 6/3/19 – 6/7/19 [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 6/3/19 through 6/7/19. 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

The post Weekly Summary of Research Findings: 6/3/19 – 6/7/19 appeared first on CXO Advisory.

Intrinsic (Time Series) Momentum Everywhere? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Do all kinds of assets and long-short equity factor premiums exhibit exploitable time series (intrinsic or absolute momentum)? In their September 2018 paper entitled “Trends Everywhere”, Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Pedersen and Erik Stamelos test intrinsic momentum on 58 traditional (studied in prior research) assets, 82 alternative (futures, forwards, and swaps Keep Reading

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Mean-Variance Optimization vs. Equal Weight for Sectors and Individual Stocks [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Are mean-variance (MV) strategies preferable for allocations to asset classes and equal-weight (EW) preferable for allocations to much noisier individual assets? In their May 2019 paper entitled “Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection”, Emmanouil Platanakis, Charles Sutcliffe and Xiaoxia Ye address this question. They focus on the Bayes-Stein shrinkage Keep Reading

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Usefulness of Published Stock Market Predictors [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Are variables determined in published papers to be statistically significant predictors of stock market returns really useful to investors? In their November 2018 paper entitled “On the Economic Value of Stock Market Return Predictors”, Scott Cederburg, Travis Johnson and Michael O’Doherty assess whether strength of in-sample statistical evidence  for 25 stock market predictors published in Keep Reading

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Usefulness of Published Stock Market Predictors [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Are variables determined in published papers to be statistically significant predictors of stock market returns really useful to investors? In their November 2018 paper entitled “On the Economic Value of Stock Market Return Predictors”, Scott Cederburg, Travis Johnson and Michael O’Doherty assess whether strength of in-sample statistical evidence  for 25 stock market predictors published in Keep Reading

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Momentum Strategy, Value Strategy and Trading Calendar Updates


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




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” Keep Reading

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Weekly Summary of Research Findings: 5/28/19 – 5/31/19 [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 5/28/19 through 5/31/19. 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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Preliminary Momentum Strategy and Value Strategy Updates


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




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 June 2019. For SACEMS, the top three positions are unlikely to change by the close. For SACEVS, allocations are unlikely to change.

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Competitive Market Perspective on Fund Manager Skill [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Do any mutual funds reliably generate significant alpha and, if so, do fund investors receive this alpha? In their June 2015 paper entitled “Active Managers Are Skilled”, Jonathan Berk and Jules Van Binsbergen examine interactions among equity mutual fund gross alpha, assets under management, fees and net alpha. To measure a practical gross alpha, they benchmark active mutual fund More

Weekly Summary of Research Findings: 7/6/15 – 7/10/15 [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 7/6/15 through 7/10/15. 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

Best Way to Implement Volatility Weighting? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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What volatility weighting scheme best exploits equity return volatility persistence based on net outcome? In the June 2015 version of his paper entitled “Dynamic Volatility Weighting in the Presence of Transaction Costs”, Valeriy Zakamulin examines a volatility weighting strategy with features that allow suppression of rebalancing frictions. The idea behind volatility weighting is to construct a portfolio that targets a specified (benchmark) More