What Kind of Asset Is Bitcoin? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 33 exchange-traded products encompassing eight used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS), Keep Reading

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Weekly Summary of Research Findings: 7/8/19 – 7/12/19 [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 7/8/19 through 7/12/19. 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

The post Weekly Summary of Research Findings: 7/8/19 – 7/12/19 appeared first on CXO Advisory.

Mimicking Portfolios of Five ETFs Beat Most Active Mutual Funds? [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Can investors beat a typical active U.S. equity mutual fund via a small portfolio of periodically re-weighted equity exchange-traded funds (ETF)? In their February 2019 paper entitled “Are Passive Funds Really Superior Investments: An Investor Perspective”, flagged by a subscriber, Edwin Elton, Martin Gruber and Andre de Souza: Determine via cluster analysis a small Keep Keep Reading

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Factor Premium Reliability and Timing [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




How reliable and variable are the most widely accepted long-short factor premiums across asset classes? Can investors time factor premium? In their June 2019 paper entitled “Factor Premia and Factor Timing: A Century of Evidence”, Antti Ilmanen, Ronen Israel, Tobias Moskowitz, Ashwin Thapar and Franklin Wang examine multi-class robustness of and variation in four prominent Keep Reading

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Optimal Long-Short Stock Momentum Strategies in European Markets [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Is there a common optimal set of ranking (lookback) interval, holding interval, weighting scheme and skip-month rule for long-short stock momentum strategies across European country markets? In her May 2019 paper entitled “Are Momentum Strategies Profitable? Recent Evidence from European Markets”, Anastasia Slabchenko identifies optimal parameter sets from 576 long-short stock momentum strategy variations in Keep Reading

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Weekly Summary of Research Findings: 7/1/19 – 7/5/19 [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 7/1/19 through 7/5/19. 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. Keep Reading

The post Weekly Summary of Research Findings: 7/1/19 – 7/5/19 appeared first on CXO Advisory.

Weekly Summary of Research Findings: 7/1/19 – 7/5/19 [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 7/1/19 through 7/5/19. 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. Keep Reading

The post Weekly Summary of Research Findings: 7/1/19 – 7/5/19 appeared first on CXO Advisory.

Sentiment Indexes and Next-Month Stock Market Return [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Do sentiment indexes usefully predict U.S. stock market returns? In his May 2018 doctoral thesis entitled “Forecasting Market Direction with Sentiment Indices”, flagged by a subscriber, David Mascio tests whether the following five sentiment indexes predict next-month S&P 500 Index performance: Investor Sentiment – the Baker-Wurgler Index, which combines six sentiment proxies. Improved Investor Keep Keep Reading

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Cash Flow Duration as Overarching Stock Return Predictor [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


Click here to view on the original site: Original Post




Does duration (relative arrival sequence) of firm cash flows explain many widely accepted equity factor returns? In their April 2019 paper entitled “Duration-Driven Returns”, Niels Gormsen and Eben Lazarus investigate whether firm cash flow duration explains value, profitability, investment, low risk, idiosyncratic volatility and payout factor returns. They measure cash flow duration monthly via multiple 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: 6/24/19 – 6/28/19 [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 6/24/19 through 6/28/19. 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: 6/24/19 – 6/28/19 appeared first on CXO Advisory.