Below is a weekly summary of our research findings for 3/4/19 through 3/8/19. 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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- Tug-of-war Risk and Future Stock Returns
Evidence indicates that stocks exhibiting high negative tug-of-war (negative overnight-intraday reversal) frequencies tend to outperform over the next few months. - DJIA-Gold Ratio as a Stock Market Indicator
Evidence from the past 47 years offers little support for belief that the ratio of DJIA to gold price reliably predicts stock market returns and no support for belief that the ratio predicts gold returns. - Testing the All Weather Portfolio
Available evidence suggests that Ray Dalio’s All Weather portfolio with a low rebalancing frequency may appeal to very risk-averse investors willing to sacrifice performance for low volatility and crash protection. - Country Stock Market Anomaly Momentum
Evidence indicates that country-level stock market return anomalies reliably exhibit momentum for lookback intervals of 6 to 12 months. - Effects of Execution Delay on SACEMS
Evidence from available data indicates that delaying execution of SACEMS monthly portfolio changes is likely to lower strategy performance, including degraded crash protection.
