Below is a weekly summary of our research findings for 2/24/20 through 2/28/20. 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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- 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. - Commercial and Industrial Credit as a Stock Market Driver
Evidence from simple tests indicates that net change in commercial and industrial credit standards as measured by the Federal Reserve Board’s quarterly survey of senior loan officers may have some use as a predictor of U.S. stock market returns over the next one to three quarters. - Best Bear Market Asset Class?
Evidence from simple tests over the available sample period suggests that high-rated, long-term debt securities and spot gold offer the best combinations of profitability and safety during U.S. equity bear markets. - Effects of Execution Delay on SACEVS
Evidence suggests that delaying SACEVS signal execution by a few days is more likely to help than harm performance. - Update on Shorting Leveraged ETF Pairs
Evidence from simple tests suggests that shorting pairs of leveraged long/short ETFs is profitable, depending on costs of resetting and carrying short positions, with gains concentrating during bursts of volatility in the underlying.
