Can ChatGPT extract market sentiment from financial news that is useful for timing equity markets? In their April 2024 paper entitled “Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ”, Baptiste Lefort,...
Do SEC Form 13F-based clones of hedge fund/institutional managers (funds) reliably match fund performances? In their March 2024 paper entitled “Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings”, Jan Schroeder and Peter Posch...
Do short-selling hedge funds consistently extract alpha from exuberant retail traders? In their March 2024 paper entitled “Short-Selling Hedge Funds”, Jialin Qian, Zhen Shi and Baozhong Yang examine the performance of hedge funds engaged in...
Can long volatility investors improve performance of their portfolios by scaling positions inversely to some measure of volatility? In his March 2024 paper entitled “Volatility-Managed Volatility Trading”, Aoxiang Yang tests volatility risk premium (VRP) timing...
Below is a weekly summary of our research findings for 4/22/24 through 4/26/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can Large Language Models (LLM) inject lookahead bias into backtests when rigor is lacking in generation of LLM training samples? In their preliminary and incomplete March 2024 paper entitled “Lookahead Bias in Pretrained Language Models”,...
Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO). As in the referenced research, we define TOTM as the interval from the close...
Is the stock market overnight move effect exploitable? To investigate, we look at performances of two exchange-traded funds (ETF) designed to exploit the effect: NightShares 500 ETF (NSPY), which “seeks to return the night performance...
How much do investors gain or sacrifice by focusing their portfolios on “sustainable” (green) stocks? In their March 2024 paper entitled “In Search of the True Greenium”, Marc Eskildsen, Markus Ibert, Theis Jensen and Lasse...
Below is a weekly summary of our research findings for 4/15/24 through 4/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are sentiments conveyed in Seeking Alpha articles useful for stock picking? In their January 2023 paper entitled “Seeking Alpha: More Sophisticated Than Meets the Eye”, Duo Selina Pei, Abhinav Anand and Xing Huan apply two-pass...
What are the implications of mainstream economics for bitcoin? In his March 2024 paper entitled “Bitcoin: What Does Mainstream Economics Have to Say?”, Joshua Hendrickson tackles the following questions: Why does money exist and what...
How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns...
Below is a weekly summary of our research findings for 4/8/24 through 4/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does pricing of options on leveraged exchange-traded funds (ETF) predict future returns of the underlying 1X ETFs? In the March 2024 version of their paper entitled “Lever Up! An Analysis of Options Trading in Leveraged...
Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock...
Can investors beat a traditional 60%-40% stocks-bonds portfolio by adjusting allocations based on the earnings yield of stocks and the current yield of government bonds? In his March 2024 paper entitled “A Yield-based Asset Ratio...
Can artificial intelligence platforms such as ChatGPT be good stock day traders? In his March 2024 paper entitled “Can ChatGPT Generate Stock Tickers to Buy and Sell for Day Trading?”, Sangheum Cho tests whether ChatGPT...
Below is a weekly summary of our research findings for 4/1/24 through 4/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors reliably capture illiquidity-driven stock price noise, short-term deviations in price from some measurable fair value? In their February 2024 paper entitled “Intraday Residual Reversal in the U.S. Stock Market”, Jonathan Brogaard, Jaehee Han...
Can holders of popular large-capitalization stocks improve portfolio performance by systematically buying or selling options on these stocks? In their February 2024 paper entitled “The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from...
Can day traders get rich with an Opening Range Breakout (ORB) strategy that buys (sells) unusually active stocks with positive (negative) opens that break out to new highs (lows) during the first five minutes of...
Do economic data releases trigger predictably large returns in short-term equity index options? In their February 2024 paper entitled “Expected 1DTE Option Returns”, Michael Johannes, Andreas Kaeck, Norman Seeger and Neel Shah analyze returns to...
Technological disruption (as experienced with widespread electrification and the rise of the world-wide web, and imagined for artificial intelligence) is a recurring feature of human history. Such disruptions presents risks and opportunities for investors. How...
Below is a weekly summary of our research findings for 3/25/24 through 3/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...