Below is a weekly summary of our research findings for 6/1/20 through 6/5/20. 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. - Tech Premium Boost for Simplest Asset Class Momentum Strategy?
Evidence for preferring QQQ or SPY in the simplest asset class ETF momentum strategy is not compelling. - Returns for Leveraged Securities
Evidence from simulated and actual leveraged/inverse ETPs indicates that these products are suitable not for buy-and-hold investments or hedging, but only for short-term directional bets on underlying indexes. - Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes
Evidence from a short recent sample period suggests that IM4 and SMA7 may be optimal across asset classes for traders bearing low trading frictions. However, findings are very noisy and timing rules may not work at all for some asset classes. - Enhancement of Dual Momentum with Just Three Assets?
Evidence does not support belief that adding gold as an alternative safe haven to ADM improves performance.
