Below is a weekly summary of our research findings for 2/19/19 through 2/22/19. 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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- Crude Oil Seasonality
Evidence from simple tests supports some belief that crude oil tends to have strong months (March-April) and weak months (November-December), but high variability inhibits exploitation. - Rebalance Timing Noise
Evidence indicates that choice of portfolio rebalancing schedule carries some performance risk and that holding multiple portfolios with different rebalancing schedules suppresses this risk. - Global Factor Premiums Over the Very Long Run
Evidence from gross Sharpe ratios over the very long run supports belief in significant worldwide trend, momentum, value, carry and seasonality factors across asset classes. - Simple Asset Class Leveraged ETF Momentum Strategy
Evidence from a short available sample period offers mixed support for belief that substituting a set of 2X ETFs for the baseline 1X ETFs enhances SACEMS performance.
