We have made three changes to the “Simple Asset Class ETF Value Strategy” (SACEVS) based on results of robustness tests and subscriber comments:
- To employ fresher data, we decrease the SACEVS S&P 500 Index level and bond/bill yield measurement interval from quarterly to monthly. S&P 500 Index operating earnings updates are still quarterly.
- To employ fresher data, we use end-of-measurement interval (end-of-month) bond/bill yields rather than average yields during the measurement interval.
- To account for a lag in availability of bill/bond yield data, we delay signal execution by one trading day.
These changes are logical, but introduce some additional noise. They result in somewhat higher risk-adjusted performance for SACEVS, at the expense of some additional trading. Effects on the Weighted version of the strategy are greater than those on the Best Value version.
We are updating “Value Strategy” and some related tests accordingly.
