Below is a weekly summary of our research findings for 2/8/21 through 2/12/21. 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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- Disposable Personal Income and the Stock Market
Evidence from simple tests does not support belief that U.S. Disposable Personal Income is a useful indicator of future U.S. stock market performance. - Personal Saving Rate and the Stock Market
Evidence from several simple tests supports some belief that a relatively strong (weak) change in the U.S. Personal Saving Rate is better (worse) for the U.S. stock market. - 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. - Only One Way to Win?
June 2018 through August 2020 represents an exceptional challenge to quantitative investing, but also an episode from which quantitative investment strategies can be expected to recover. - Testing the 3-ETF Strategy
Investors with low short-term and long-term risk tolerance may find 3-ETF a reasonably attractive approach (sacrificing return for low monthly volatility and shallow drawdowns).
