Investing Research Articles

A subscriber suggested testing the diversification power of SPDR Barclays International Treasury Bonds (BWX) as a distinct asset class. To check, we add BWX to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR Gold Shares (GLD)iShares Russell 1000… Keep Reading

It is plausible that high-yield corporate bonds have return characteristics substantially different from those of other asset classes, and therefore represent a good diversification opprotunity. To check, we add iShares iBoxx $ High-Yield Corporate Bond (HYG) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity… Keep Reading

Treasury Inflation-Protected Securities (TIPS), offering an explicit inflation hedge, may be an attractive asset for strategic diversification. To check, we add iShares Barclays TIPS Bond Fund (TIP) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR… Keep Reading

It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represent a good diversification opprotunity. To check, we add iShares Barclays 7-10 Year Treasury (IEF) to the following mix of asset class proxies (the same used in “Simple Asset Class… Keep Reading

A subscriber suggested testing the diversification power of exchange-traded aggregations of U.S. pipeline Master Limited Partnerships, such as JPMorgan Alerian MLP Index ETN (AMJ), as a distinct asset class. To check, we add AMJ to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares… Keep Reading

It is plausible that crude oil as a dominant energy commodity has return characteristics substantially different from those of other commodities and asset classes, and therefore represents a good diversification opportunity. To check, we add the United States Oil Fund (USO) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF… Keep Reading

A subscriber suggested testing the diversification power of iPath DJ-UBS Copper ETN (JJC) as a distinct asset class. To check, we add JJC to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR Gold Shares (GLD)iShares Russell 1000 Index (IWB)iShares… Keep Reading

Does adding a proxy for the least developed (frontier) equity markets to a diversified portfolio improve its performance? To check, we add Guggenheim Frontier Markets ETF (FRN) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR… Keep Reading

Market volatility tends to rise as returns fall. Does adding a proxy for intermediate-term U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Mid-Term Futures (VXZ) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB Commodity… Keep Reading

Market volatility tends to rise as returns fall. Does adding a proxy for short-term U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&P 500 VIX Short Term Futures (VXX) to the following mix of asset class proxies (the same used in “Simple Asset Class ETF Momentum Strategy”): PowerShares DB… Keep Reading