Below is a weekly summary of our research findings for 7/22/24 through 7/26/24. 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. Equity... Keep... Keep Reading The post Weekly Summary of Research Findings: 7/22/24 – 7/26/24 appeared first on CXO Advisory ..read more

A subscriber requested evaluation of versions of the Simple Asset Class ETF Value Strategy (SACEVS), the Simple Asset Class ETF Momentum Strategy (SACEMS) and a combination of the two, as follows: For SACEVS Best Value, which chooses the asset proxy for the term, credit or equity premium that is most undervalued (if any), use... Keep... Keep Reading The post Less Frequent Reformations/Rebalancings for SACEVS and SACEMS? appeared first on CXO Advisory ..read more

Do narrow exchange-traded funds (ETF), such as specific technology-focused funds, exhibit a predictable lifecycle of fund inflows that inflate prices of holdings followed by fund outflows that depress prices of holdings? In their May 2024 paper entitled “Ponzi Funds”, Philippe van der Beck, Jean-Philippe Bouchaud and Dario Villamaina decompose ETF returns into price pressure (self-inflated)...... Keep Reading The post Self-inflating ETFs appeared first on CXO Advisory ..read more

A subscriber suggested review of the February 2017 paper “Bubbles for Fama”, in which Robin Greenwood, Andrei Shleifer and Yang You assess Eugene Fama’s claim that stock prices do not exhibit bubbles. They define a bubble candidate as a value-weighted U.S. industry or international sector that rises over 100% in both raw and net of...... Keep Reading The post Equity Industry/Sector Price Run-ups and Future Returns appeared first on CXO Advisory ..read more

Below is a weekly summary of our research findings for 7/15/24 through 7/19/24. 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. SACEMS... Keep... Keep Reading The post Weekly Summary of Research Findings: 7/15/24 – 7/19/24 appeared first on CXO Advisory ..read more

A subscriber asked for confirmation that the strategy described at “Meb Faber’s 12-Month High Switch” (the strategy) is attractive. This strategy at each monthly close: Calculates the 12-month high for: SPDR S&P 500 ETF Trust (SPY), iShares MSCI EAFE ETF (EFA), Vanguard Real Estate Index Fund ETF Shares (VNQ), SPDR Gold Shares (GLD) and... Keep... Keep Reading The post Within 95% of 12-month High Strategy? appeared first on CXO Advisory ..read more

Below is a weekly summary of our research findings for 7/8/24 through 7/12/24. 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. Use... Keep... Keep Reading The post Weekly Summary of Research Findings: 7/8/24 – 7/12/24 appeared first on CXO Advisory ..read more

What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a utilities risk premium, derived from the yield on Utilities Select Sector SPDR Fund (XLU)? To investigate, we apply the SACEVS methodology to the following asset class exchange-traded funds (ETF), plus cash: 3-month Treasury bills (Cash) iShares 20+ Year Treasury Bond ETF (TLT) iShares iBoxx...... Keep Reading The post Add Utilities to SACEVS? appeared first on CXO Advisory ..read more

“Use Short-term S&P 500 Index Indicators to Predict VIX Futures?” describes research finding a potentially exploitable relationship between S&P 500 Index short-term overbought/oversold conditions and short-term VIX futures gross returns. Do findings transfer to short-term VIX futures exchange-traded funds (ETF). To investigate, we look at predictive relationships between daily SPDR S&P 500 ETF Trust (SPY)...... Keep Reading The post Corroborating Findings that the S&P 500 Index Predicts VIX Futures appeared first on CXO Advisory ..read more

Does the S&P 500 Index (SPX) or the CBOE Volatility Index (VIX) yield better short-term trading signals for stocks and VIX futures? In the May 2024 revision of his paper entitled “Chicken and Egg: Should you use the VIX to time the SPX? Or use the SPX to time the VIX?”, Robert Hanna explores mutual...... Keep Reading The post Use Short-term S&P 500 Index Indicators to Predict VIX Futures? appeared first on CXO Advisory ..read more