Investing Research Articles

Are concentrated stock portfolios inherently disadvantaged by lack of diversification? In his June 2023 paper entitled “Underperformance of Concentrated Stock Positions”, Antti Petajisto analyzes rolling future returns for individual U.S. stocks relative to the broad U.S. stock market (market-adjusted) as a way to assess implications of concentrated stock portfolios. He focuses on median return as… Keep Reading

Are new machine learning portfolio strategies practically better than old stock factor ways? In their August 2023 paper entitled “Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time”, Nusret Cakici, Christian Fieberg, Daniel Metko and Adam Zaremba examine the ability of various machine learning models to predict stock returns for: (1) monthly and… Keep Reading

The conventional approach to measuring equity factor returns is via hedge portfolios that are long (short) the equal-weighted or value-weighted extreme highest (lowest) fifth or tenth of stocks sorted by some firm/stock characteristic. Is there a better way? In their August 2023 paper entitled “Power Sorting”, Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte and… Keep Reading

Below is a weekly summary of our research findings for 9/5/23 through 9/8/23. 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.

Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading

Do stock prices confirm that firms with high market power maintain profitability during times of high inflation because they can raise prices, while those with low market power cannot? In their August 2023 paper entitled “Stagflationary Stock Returns and the Role of Market Power”, Benjamin Knox and Yannick Timmer study effects of inflation news on… Keep Reading

What is the best way to exploit U.S. federal government tax code allowing capital losses to offset current or future capital gains and up to $3,000 of current regular income? In his August 2023 paper entitled “Tax-Loss Harvesting: A Primer”, Harry Mamaysky discusses many features of tax loss harvesting, selling securities at a loss and… Keep Reading

Below is a weekly summary of our research findings for 8/28/23 through 9/1/23. 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.

Referring to commonly used Relative Strength Index (RSI) oversold parameter settings, but seeking to avoid exiting rebounds too soon, a subscriber asked about performances of the following four rules as applied to SPDR S&P 500 ETF Trust (SPY): Buy when daily RSI 14 falls under 30 and hold for six months. Buy when daily RSI… Keep Reading

Should investors trust artificial intelligence (AI) models such as ChatGPT to pick stocks? In their August 2023 paper entitled “ChatGPT-based Investment Portfolio Selection”, Oleksandr Romanko, Akhilesh Narayan and Roy Kwon explore use of ChatGPT to recommend 15, 30 or 45 S&P 500 stocks, with portfolio weights, based on textual sentiment as available to Chat GPT… Keep Reading