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...
Does financial news sentiment as interpreted by large language models (LLM) such as ChatGPT and BARD predict short-term stock market returns? In their September 2023 paper entitled “Large Language Models and Financial Market Sentiment”, Shaun...
A subscriber requested a test of holding Invesco QQQ Trust (QQQ) during November through April and idle cash during May through October. Informed by the Trading Calendar, we consider four strategies: QQQ – buy and...
Below is a weekly summary of our research findings for 10/30/23 through 11/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there ways to revive the fading performance of the short-term reversal (STR) strategy, which is long stocks with the lowest returns last month and short stocks with the highest? In their September 2023 paper...
Is public saving rate a leading indicator of the stock market? Arguably, an increase (decrease) in saving rate means a shift away from (toward) consumption, corporate earnings and associated stock value. The Bureau of Economic...
A reader asked: “Is disposable income a leading indicator of the stock market?” Arguably, an increase in disposable income could spur consumption, corporate earnings and associated stock values. The Bureau of Economic Analysis (BEA) releases...
Does a simple relative momentum strategy applied to tradable U.S. Treasury term structure proxies produce attractive results by picking the best duration for exploiting the current interest rate trend? To investigate, we run short-term and...
Below is a weekly summary of our research findings for 10/23/23 through 10/27/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do individual asset classes react to monthly inflation indications? To investigate, we relate future monthly returns for the following 10 asset class exchange-traded fund (ETF) proxies to monthly changes in the U.S. Consumer Price...
Do Relative Rotation Graphs (RRG), which visually segregate assets into leading, weakening, lagging or improving quadrants by relative performance, effectively identify equity sectors with relatively strong future returns? In his September 2023 paper entitled “Dynamic...
Can artificial intelligence (AI) models help investors quantify vague firm risks through textual analysis? In their October 2023 paper entitled “From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI”, Alex Kim, Maximilian Muhn and...
Below is a weekly summary of our research findings for 10/16/23 through 10/20/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does machine learning reliably offer better risk-adjusted portfolio performance than traditional modern portfolio theory (MPT)? In their August 2023 paper entitled “Comparing Deep RL and Traditional Financial Portfolio Methods”, Eric Benhamou, Jean-Jacques Ohana, Beatrice Guez,...