Investing Research Articles

Can large language models (LLM) help improve portfolio performance metrics, portfolio optimization and strategy feature discovery? In his three January-February 2025 papers entitled “AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics”, “AlphaPortfolio: Discovery of Portfolio Optimization and Allocation Methods Using LLMs” and “AlphaQuant: LLM-Driven Automated Robust Feature Engineering for Quantitative Finance”, Kamer Yuksel explores use of… Keep Reading

Do opening gaps reliably indicate either reversal or continuation for the balance of the trading day? To investigate, we relate opening gaps to subsequent open-to-close returns for SPDR S&P 500 ETF Trust (SPY). Using daily SPY closes and opens, both adjusted for dividends, from the end of January 1993 (SPY inception) through late March 2025,… Keep Reading

Are plans to use nuclear power to provide electricity for proliferating data centers driving attractive performance for uranium exchange-traded-funds (ETF)? To investigate, we consider four such ETFs, all currently available: VanEck Uranium and Nuclear ETF ETF (NLR) – picks stocks and depositary receipts of firms involved in uranium and nuclear energy. Global X Uranium ETF… Keep Reading

Below is a weekly summary of our research findings for 3/31/25 through 4/4/25. 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.

Alternative trading platforms (such as Blue Ocean and Interactive Brokers) offer trading in many U.S. stocks and exchange traded products between 8PM and 4AM (nocturnal), letting U.S. retail and Asian investors trade continuously five days a week. What are the implications? In their March 2025 paper entitled “Nocturnal Trading”, Gregory Eaton, Andriy Shkilko and Ingrid… Keep Reading

A subscriber asked about the historical experience (distribution of outcomes) of an investor with a 5-year horizon (holding period). To investigate we consider returns for 5-year intervals rolled annually at the end of the year based on: Annual nominal and real total returns for Shiller’s long-run S&P Composite Index during 1871-2024, offering 148 overlapping 5-year… Keep Reading

A subscriber asked about an assertion that bitcoin (BTC) price trend/return predicts return of the S&P 500 Index (SP500). To investigate, we relate BTC returns to SP500 returns at daily, weekly and monthly frequencies. We rationalize the different trading schedules for these two series by excluding BTC trading dates that are not also SP500 trading… Keep Reading

Does the level of, or change in, the annual U.S. federal surplus/deficit systematically influence the U.S. stock market, perhaps by affecting consumption and thereby corporate earnings or by modifying inflation and thereby discount rates? To check, we relate annual stock market returns to the annual surplus/deficit (receipts minus outlays) as a percentage of Gross Domestic… Keep Reading

Are machine learning predictions for both stock returns and return volatilities attractively exploitable? In their March 2025 paper entitled “Deep Learning of Conditional Volatility and Negative Risk-Return Relation”, Qi Wu, Xing Yan and Wenxuan Ma apply non-linear deep learning models (neural networks of one to five layers) and likelihood estimation to forecast next-month stock returns… Keep Reading

Below is a weekly summary of our research findings for 3/24/25 through 3/28/25. 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.