26 min listen
UTRN: The Short-Term Reversal Effect On Steroids
FromLet's Talk ETFs
ratings:
Length:
50 minutes
Released:
Jul 1, 2020
Format:
Podcast episode
Description
"Short-term reversals" are the market phenomenon that stocks with particularly bad one-week or month returns are likely to generate outsized returns in the following week or month. But while this stock market anomaly has been known for decades, the high-frequency trading and tax consequences of executing this strategy have made it difficult for investors to profit from. Housing a short-term reversal strategy in an the ETF wrapper has finally made the short-term reversal strategy efficient from both a tax and trading standpoint for regular investors. Vesper Capital Management's John Thompson joins Let's Talk ETFs and walks listeners through how the strategy underlying his firm's UTRN ETF has led to massive outperformance since the March 23 lows.Show Notes3:30 - What is the market anomaly known as the "short-term reversal"?6:00 - Understanding investor behavior: People overreact more to the downside than the upside12:00 - Introducing the Chow Ratio15:00 - Even within an ETF wrapper, how tax efficient is this strategy?18:00 - Is it a characteristic of the fund to underperform during bull markets?23:45 - How does the Chow Ratio signal which stocks to buy and which ones to avoid?30:00 - What names have been driving the performance over the last 3 months?34:15 - Do you see UTRN as a core portfolio holding?36:15 - Does combining this strategy with a momentum strategy lead to even better risk adjusted returns?41:00 - Any plans to roll out similar strategies for different asset classes?43:30 - What's your outlook for a V-shaped recovery? Will the market be higher or lower at year end?Learn more about your ad choices. Visit megaphone.fm/adchoices
Released:
Jul 1, 2020
Format:
Podcast episode
Titles in the series (100)
The Global Macro Picture Is Fraught With Risk: A Playbook For ETF Investors: Making sense of turbulent global markets in actionable ways can be challenging in any environment - and the current market environment is certainly no exception. As Director of Macro ETF Strategy at Invesco, Jason Bloom's job is to provide investors... by Let's Talk ETFs