Below is a weekly summary of our research findings for 9/28/20 through 10/2/20. 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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- Size as Catalyst for Value and Momentum
Evidence indicates that size is weak as a standalone factor but may give a material boost to other stock factors. - Using SVXY to Capture the Volatility Risk Premium
Evidence from simple tests on available data suggests that capturing the volatility risk premium with SVXY, even with a monthly skim of gains, is risky due to unpredictable stock market crashes (volatility spikes). - SACEVS-SACEMS for Value-Momentum Diversification
Evidence from available samples suggests that SACEMS and SACEVS usefully diversify each other. - GDX and GDXJ vs. GLD
Evidence from simple tests over the available sample period indicates that GDX and GDXJ behave somewhat like a very long-term option on GLD, with relatively high volatility and price wasting. - SLV vs. GLD
Evidence from simple tests over the available sample period indicates that GLD and SLV are similar assets, with the former outperforming the latter over time.
