Below is a weekly summary of our research findings for 5/26/20 through 5/29/20. 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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- 10-month vs. 40-week vs. 200-day SMA
Evidence from simple tests indicates that a 10-month SMA generally beats 40-week and 200-day SMAs for timing SPY over the past 33 years, but outperformance could be due to luck. - Are U.S. Equity Momentum ETFs Working?
Available evidence on attractiveness of momentum-oriented U.S. stock and sector ETFs is mostly negative. - Are Low Volatility Stock ETFs Working?
Available evidence on attractiveness of low volatility stock ETFs is mostly positive. - SACEMS at Weekly and Biweekly Frequencies
Evidence from the available sample does not support belief that weekly or biweekly measurement frequencies improve SACEMS performance, especially after accounting for higher switching frictions.
