Testing a 70-30 SPY-BIL Strategy [PREMIUM]
CXO Advisory
by Steve LeCompte
5h ago
A subscriber asked for assessment of a strategy that holds 70% SPDR S&P 500 ETF Trust (SPY) and 30% SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) (SPY-BIL 70-30), rebalanced every eight weeks, with explicit comparison to the 50% Simple Asset Class ETF Value Strategy Best Value-50% Simple Asset Class ETF Momentum Strategy Equal-Weighted Top 2...... Keep Reading The post Testing a 70-30 SPY-BIL Strategy appeared first on CXO Advisory ..read more
Visit website
Stock Market Returns Around Holidays in Aggregate [PREMIUM]
CXO Advisory
by Steve LeCompte
2d ago
Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday through three trading days after for the following holidays (adding the Super Bowl) as available since 1950: New Year’s Day...... Keep Reading The post Stock Market Returns Around Holidays in Aggregate appeared first on CXO Advisory ..read more
Visit website
Weekly Summary of Research Findings: 3/18/24 – 3/22/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
6d ago
Below is a weekly summary of our research findings for 3/18/24 through 3/22/24. 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. Interactions... Keep... Keep Reading The post Weekly Summary of Research Findings: 3/18/24 – 3/22/24 appeared first on CXO Advisory ..read more
Visit website
Interactions of Stock Mispricing and News Sentiment [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki Noh examine interactions of stock mispricing and news release sentiment. They consider 11 mispricing signals to identify overpriced and underpriced...... Keep Reading The post Interactions of Stock Mispricing and News Sentiment appeared first on CXO Advisory ..read more
Visit website
Limited Rebalancing for SACEMS? [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
A subscriber observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate, we compare the following two versions of the Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2 portfolio:...... Keep Reading The post Limited Rebalancing for SACEMS? appeared first on CXO Advisory ..read more
Visit website
Weekly Summary of Research Findings: 3/11/24 – 3/15/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. 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. Warren... Keep... Keep Reading The post Weekly Summary of Research Findings: 3/11/24 – 3/15/24 appeared first on CXO Advisory ..read more
Visit website
Update on Real Earnings Yield and Future Stock Market Returns [PREMIUM]
CXO Advisory
by Steve LeCompte
2w ago
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate corporate earnings divided by corresponding stock index level. The REY model adjusts this earnings yield by subtracting the inflation rate...... Keep Reading The post Update on Real Earnings Yield and Future Stock Market Returns appeared first on CXO Advisory ..read more
Visit website
Horse Race: SSO or QQQ vice SPY in SACEVS and SACEMS? [PREMIUM]
CXO Advisory
by Steve LeCompte
2w ago
Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), based on substituting: ProShares... Keep... Keep Reading The post Horse Race: SSO or QQQ vice SPY in SACEVS and SACEMS? appeared first on CXO Advisory ..read more
Visit website
Compendium of Live ETF Factor/Niche Premium Capture Tests
CXO Advisory
by Steve LeCompte
2w ago
Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a global view. “U.S. Equity Premium?” – evidence from simple tests on about 21 years of data suggests that stock market... Keep Reading The post Compendium of Live ETF Factor/Niche Premium Capture Tests appeared first on CXO Advisory ..read more
Visit website
Weekly Summary of Research Findings: 3/4/24 – 3/8/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
2w ago
Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. 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. Predictable... Keep... Keep Reading The post Weekly Summary of Research Findings: 3/4/24 – 3/8/24 appeared first on CXO Advisory ..read more
Visit website

Follow CXO Advisory on FeedSpot

Continue with Google
Continue with Apple
OR