Investing Research Articles

“SACEMS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS). “SACEVS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS). In response, a subscriber requested a sensitivity test of 1.25X,… Keep Reading

How do exchange-traded-funds (ETF) focused on Treasury Inflation-Protected Securities (TIPS) perform? To investigate, we consider ten of the largest TIP ETFs, all currently available, as follows: iShares TIPS (TIP) Schwab U.S. TIPS (SCHP) Vanguard Short-Term Inflation-Protected Securities (VTIP) iShares 0-5 Year TIPS (STIP) SPDR Portfolio TIPS (SPIP) FlexShares iBoxx 3-Year Target Duration TIPS Index (TDTT)… Keep Reading

Is leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS)? To investigate effects of margin, we augment SACEVS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the end… Keep Reading

Is leveraging with margin a good way to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? To investigate effects of margin, we augment SACEMS by: (1) initially applying 2X leverage via margin (limited by Federal Reserve Regulation T); (2) for each month with a positive portfolio return, adding margin at the… Keep Reading

Below is a weekly summary of our research findings for 11/20/23 through 11/24/23. 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.

Can large language models (LLM) such as ChatGPT and GPT-4 pass the Chartered Financial Analyst (CFA) exam, which covers fundamentals of investment tools, asset valuation, portfolio management and wealth planning? In their October 2023 paper entitled “Can GPT models be Financial Analysts? An Evaluation of ChatGPT and GPT-4 on Mock CFA Exams”, Ethan Callanan, Amarachi… Keep Reading

Is there a clearly superior multi-factor model of next-month stock returns? In the November 2023 revision of their paper entitled “A Quantum Leap in Asset Pricing: Explaining Anomalous Returns”, James Kolari, Jianhua Huang, Wei Liu and Huiling Liao compare abilities of the following eight multi-factor models of stock returns to explain 133 stubbornly persistent stock… Keep Reading

Can investors reliably time the market, size, value and profitability long-short equity factor premiums? In their October 2023 paper entitled “Another Look at Timing the Equity Premiums”, Wei Dai and Audrey Dong test strategies that time these four premiums in U.S., developed ex-U.S. and emerging equity markets. They define the premiums as: Market – the… Keep Reading

A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50%… Keep Reading

Below is a weekly summary of our research findings for 11/13/23 through 11/17/23. 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.