Investing Research Articles

Below is a weekly summary of our research findings for 10/2/23 through 10/6/23. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Will emerging artificial intelligence (AI) tools such as the generative large language model ChatGPT have important roles in the economy, including asset management? In his September 2023 paper entitled “Generative AI: Overview, Economic Impact, and Applications in Asset Management”, Martin Luk reviews the evolution of generative AI models, their economic impact and their applications in… Keep Reading

Can network analysis discover useful momentum spillover across asset classes? In their August 2023 paper entitled “Network Momentum across Asset Classes”, Xingyue (Stacy) Pu, Stephen Roberts, Xiaowen Dong and Stefan Zohren employ a graph machine learning model to discover cross-class momentum connections and devise a network momentum strategy across 64 series of commodities, equities, bonds… Keep Reading

Each month, the Institute for Supply Management (ISM) each month generates the Services Purchasing Managers Index (PMI), aggregating monthly inputs from purchasing and supply executives in services firms across the U.S. regarding business activity, new orders, employment and supplier deliveries. ISM releases Services PMI for a month on the third business day of the following… Keep Reading

According to the Institute for Supply Management (ISM) each month generates the Manufacturing Purchasing Managers’ Index (PMI), aggregating monthly inputs from purchasing and supply executives in manufacturing firms across the U.S. regarding new orders, production, employment, deliveries and inventories. ISM releases Manufacturing PMI for a month at the beginning of the following month. Does Manufacturing PMI… Keep Reading

Below is a weekly summary of our research findings for 9/25/23 through 9/29/23. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement frequency. Using… Keep Reading

How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB US Dollar Index Bullish Fund (UUP) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement… Keep Reading

Below is a weekly summary of our research findings for 9/18/23 through 9/22/23. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

A subscriber asked whether aggregate U.S. state tax revenues, as an indicator of economic activity, lead the U.S. stock market. To investigate, we compare behaviors of total quarterly state tax collections and SPDR S&P 500 ETF Trust (SPY). Because these series are not stationary (generally increasing rather than mean reverting), we relate changes in them…. Keep Reading