Below is a weekly summary of our research findings for 11/4/19 through 11/8/19. 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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- Combine Market Trend and Economic Trend Signals?
Available evidence suggests that UR:SMA12 plus SP500:SMA10 is effective for timing the U.S. stock market during 2000-2010, but results for other decades back to 1950 are mixed. - SACEMS Optimization in Depth
Evidence indicates that, ignoring snooping bias, optimization of SACEMS lookback intervals by individual asset class proxy (optimization-in-depth) may be attractive. Available data do not support out-of-sample testing rigorous enough to mitigate concern about snooping bias. - Are Currency Carry Trade ETFs Working?
Available evidence on attractiveness of currency carry trade ETF/ETNs is negative. - “Best” Indicator Consistency Across Samples
Evidence from tests on tradable U.S. equity index proxies over different available sample periods mostly does not support belief that the Coppock Guide as specified is a “best” (or even good) indicator. - Add REITs to SACEVS?
Evidence from the available sample period suggests that adding an equity real estate risk premium to SACEVS offers little or no benefit.
