Daily Archives: August 13, 2021

The ETF Portfolio Strategist: 13 August 2021

  • Europe shares are catching the bull-market bug
  • US stocks end the week at another record high
  • All our strategy benchmarks enjoy solid gains this week

The Continent’s hot: And we’re not just talking weather. Yes, temperatures are sky-high in several regions across Europe. Sicily stands out by setting a new record high for Europe this week — a fiery 119.8 degrees Fahrenheit.

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Research Review | 13 August 2021 | Market and Asset Analytics

Decomposing Momentum: Eliminating its Crash Component
Pascal Büsing (University of Muenster), et al.
July 15, 2021
We propose a purely cross-sectional momentum strategy that avoids crash risk and does not depend on the state of the market. To do so, we simply split up the standard momentum return over months t-12 to t-2 at the highest stock price within this formation period. Both resulting momentum return components predict subsequent returns on a stand-alone basis. However, the long-short returns associated with the first component completely avoid negative skewness since momentum crashes are entirely driven by the second component.

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Macro Briefing: 13 August 2021

* Supreme Court won’t block Indiana University’s vaccine mandate
* UK defence secretary: Afghanistan at risk of becoming a ‘failed state’
* US home prices surged in nearly every part of country
* Economists predict Fed will unveil tapering plan in September
* Disney reports better than expected earnings for Q3
* Severe weather events trigger second-highest ever first-half losses for insurers
* Growth forecasts cut for China as Delta variant spreads across the country
* US jobless claims fell for a third straight week: