Below is a weekly summary of our research findings for 6/15/20 through 6/19/20. 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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- Long-term SMA and TOTM Combination Strategy
Evidence from simple tests suggests that investors who bear very low trading frictions may (ignoring tax implications) be able to exploit the combination of trend following via long-term simple moving average and turn-of-the-month effect. - Combining Market Trend and Chicago Fed NFCI Signals
Evidence does not support belief that adding a simple trend signal to signals from weekly changes in the NFCI improves U.S. stock market timing performance. - Reliability and Exploitability of U.S. Stock Market Trends
Evidence indicates that the U.S. stock market exhibits somewhat reliable and exploitable medium-term (long only) time series momentum over very long investment horizons. - Home Prices and the Stock Market
Evidence from the past several decades indicates little interaction between the U.S. stock market and the U.S. residential real estate market. The two asset classes are mutually diversifying. - Test of Seasonal Risk Adjustment Strategy
Evidence from a short test supports some belief in the effectiveness of shifting to relatively high-risk (low-risk) investments during November-April (May-October).
