Below is a weekly summary of our research findings for 1/21/20 through 1/24/20. 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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- Simple Sector ETF Momentum Strategy Update/Extension
Evidence from simple tests on available data offers little support for belief that a relative momentum strategy applied to U.S. stock sector ETFs, in the absence of a separate market timing rule, is attractive. - Ziemba Party Holding Presidency Strategy Update
A small recent sample offers some support to prior research findings that holding small stocks during Democratic presidencies and large stocks or bonds during Republican presidencies beats a conventional 60-40 portfolio. - Style Performance by Calendar Month
Evidence from limited data suggests the possibility of some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences limits confidence. - Doing Momentum with Style (ETFs)
Evidence from the available sample does not support belief that a simple size-value style ETF momentum strategy enhances an equally weighted benchmark.
