Below is a weekly summary of our research findings for 12/17/18 through 12/21/18. 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.
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- Stock Returns Around Christmas
Best guess is that any anomalous U.S. stock market strength around Christmas will start one trading day before and persist for several trading days after the holiday, but noise generally dominates. - Commodity Futures Momentum and Reversal
Evidence indicates that prices of commodity futures contract series exhibit momentum specified in different ways, but not reversal. - Sell Equity Index OTM Put Options and ATM Straddles?
Evidence indicates that selling OTM put options and ATM straddles on the S&P 500 Index is not attractive after accounting for realistic bid-ask spreads and other aspects of actual option pricing. In other words, prior research is defective. - Best Safe Haven ETF?
Evidence from simple tests over available and common sample periods suggests that silver, gold and longer-term U.S. Treasuries are safe havens, while crude oil is not. - SACEMS with SMA Filter
Evidence from simple tests on available data offers very little support for belief that adding an SMA10 filter to SACEMS winners (ensuring that no holdings are below their respective SMA10s) helps or hurts SACEMS performance.
