Investing Research Articles

Below is a weekly summary of our research findings for 9/18/23 through 9/22/23. 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.

A subscriber asked whether aggregate U.S. state tax revenues, as an indicator of economic activity, lead the U.S. stock market. To investigate, we compare behaviors of total quarterly state tax collections and SPDR S&P 500 ETF Trust (SPY). Because these series are not stationary (generally increasing rather than mean reverting), we relate changes in them…. Keep Reading

Will equity funds “managed” by artificial intelligence (AI) outperform human investors? To investigate, we consider the performance of AI Powered Equity ETF (AIEQ). Per the offeror, the EquBot model supporting AIEQ: “…leverages IBM’s Watson AI to conduct an objective, fundamental analysis of U.S. domiciled common stocks, including Special Purpose Acquisitions Corporations (“SPAC”), and real estate… Keep Reading

Below is a weekly summary of our research findings for 9/11/23 through 9/15/23. 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.

A subscriber asked how Apple Inc. (AAPL) stock behaves around unveiling of new iPhone models. To investigate, we identify 19 distinct iPhone series release dates from 6/29/07 through 9/16/22 and calculate average daily cumulative returns for AAPL from 21 trading days before release date (Day 0) through 63 trading days after release date. Two pairs… Keep Reading

Are concentrated stock portfolios inherently disadvantaged by lack of diversification? In his June 2023 paper entitled “Underperformance of Concentrated Stock Positions”, Antti Petajisto analyzes rolling future returns for individual U.S. stocks relative to the broad U.S. stock market (market-adjusted) as a way to assess implications of concentrated stock portfolios. He focuses on median return as… Keep Reading

Are new machine learning portfolio strategies practically better than old stock factor ways? In their August 2023 paper entitled “Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time”, Nusret Cakici, Christian Fieberg, Daniel Metko and Adam Zaremba examine the ability of various machine learning models to predict stock returns for: (1) monthly and… Keep Reading

The conventional approach to measuring equity factor returns is via hedge portfolios that are long (short) the equal-weighted or value-weighted extreme highest (lowest) fifth or tenth of stocks sorted by some firm/stock characteristic. Is there a better way? In their August 2023 paper entitled “Power Sorting”, Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte and… Keep Reading

Below is a weekly summary of our research findings for 9/5/23 through 9/8/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading