Investing Research Articles

In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months. To investigate, we… Keep Reading

Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: Invesco S&P 500 Low Volatility Portfolio (SPLV) – the 100 stocks from the S&P 500 Index with the lowest realized volatility over the… Keep Reading

How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census Bureau data. We make the following head-of-household age cohort assumptions: “Less than 35 years” means about age 30. “35 to… Keep Reading

A subscriber requested validation of the performance of a simple momentum strategy that each month selects the best performing debt mutual fund based on total return over the past three months. To investigate, we test a simple strategy on the following 14 mutual funds, most of which have long histories: T. Rowe Price New Income… Keep Reading

Can investors holding gold as inflation hedge/equity crash protection improve performance of this position by holding gold (silver) when the gold-to-silver ratio is relatively low (high)? To investigate, we track the ratio of SPDR Gold Shares (GLD) price to iShares Silver Trust (SLV) price and switch from GLD to SLV (SLV to GLD) when GLD… Keep Reading

Below is a weekly summary of our research findings for 6/3/24 through 6/7/24. 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.

Are large language models such as GPT-4 as effective as professional human analysts in interpreting numerical financial statements? In their May 2024 paper entitled “Financial Statement Analysis with Large Language Models”, Alex Kim, Maximilian Muhn and Valeri Nikolaev investigate whether GPT-4 can analyze standardized, anonymized financial statements to forecast direction and magnitude (large, moderate or… Keep Reading

A subscriber asked: “Some pundits have noted that U.S. stocks have greatly outperformed foreign stocks in recent years. What does the performance of U.S. stocks vs. foreign stocks over the last N years say about future performance?” To investigate, we use the S&P 500 Index (SP500) as a proxy for the U.S. stock market and… Keep Reading

A subscriber noted and asked: “Michigan (at one point) claimed that the inflation expectations part of their survey of consumers was predictive. That was from a paper long ago. I wonder if it is still true.” To investigate, we relate monthly “Expected Changes in Prices” (expected annual inflation) from the monthly University of Michigan Survey… Keep Reading

In response to “Money Supply (M2) and the Stock Market”, a subscriber commented: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have a chance to have much impact. That’s the situation we have right now for the most part.” The Federal Reserve… Keep Reading