Should qualified investors count on global macro (GM) and managed futures (MF, or alternatively CTA for commodity trading advisors) hedge funds to beat the market? In their November 2023 paper entitled “Global Macro and Managed...
With stock portfolio construction increasingly based on “black box” machine learning models with very large numbers of inputs, how can investors decide whether portfolio recommendations make sense? In their November 2023 paper entitled “The Anatomy...
Do different proxies for investor disagreement widely used as stock return predictors (analyst forecast dispersion, idiosyncratic volatility and trading volume) generally agree? In their November 2023 paper entitled “Disagreement of Disagreement”, Christian Goulding, Campbell Harvey...
Below is a weekly summary of our research findings for 12/4/23 through 12/8/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Simplest Asset Class ETF Momentum Strategy Update” updates performance of a strategy that 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...
Should investors consider portfolio volatility when choosing allocations to stocks and bonds in their retirement accounts? In his October 2023 paper entitled “Retirement Planning: The Volatility-Adjusted Coverage Ratio”, Javier Estrada introduces volatility-adjusted coverage ratio (VAC)...
The Conference Board “publishes leading, coincident, and lagging indexes designed to signal peaks and troughs in the business cycle for major economies around the world,” including the widely cited Leading Economic Index (LEI) for the...
Is there an exploitable way to find which stocks lead and which stocks lag in returns? In their October 2023 paper entitled “Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies”, Álvaro Cartea, Mihai Cucuringu...
Below is a weekly summary of our research findings for 11/27/23 through 12/1/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can the large language model GPT-4 help investors make investment decisions? In their October 2023 paper entitled “Can ChatGPT Assist in Picking Stocks?”, Matthias Pelster and Joel Val conduct a live test during the 2023...
“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...
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...
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...
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...
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...
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...
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...
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...
The number of published factors significantly explaining variation in individual stock returns has grown steadily over time into the hundreds, inviting the term “factor zoo.” Are all these factors important when applied in combination? In...
Numerous option trading studies report finding strategies with remarkably high mean returns and Sharpe ratios. Are these findings too good to be true? In their October 2023 paper entitled “Too Good to Be True: Look-ahead...
Do conventional market capitalization-weighted stock indexes suffer from a long-term buy-high/sell-low performance drag when adding and deleting stocks? In their October 2023 paper entitled “Reimagining Index Funds”, Robert Arnott, Chris Brightman, Xi Liu and Que...
A subscriber requested testing of a strategy that holds a combination of 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2 strategies...
Below is a weekly summary of our research findings for 11/6/23 through 11/10/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the the conventional retirement portfolio glidepath as recommended by many financial advisors, away from stocks and toward bonds over time, really optimal? In their October 2023 paper entitled “Beyond the Status Quo: A Critical...
Do covered call strategies, which offer both long equity and short volatility exposures, beat their underlying equities? In their October 2023 paper entitled “A Devil’s Bargain: When Generating Income Undermines Investment Returns”, Roni Israelov and...