Can machine learning software discover predictive stock price patterns? In their December 2020 paper entitled “(Re-)Imag(in)ing Price Trends”, Jingwen Jiang, Bryan Kelly and Dacheng Xiu apply convolutional neural network machine learning software to analyze stock...
Intangible assets derive largely from investments in employees, brand and knowledge that are expensed rather than booked. Despite large and growing importance of intangible assets, traditional measures of firm value ignore them. Are firm value...
“Evolution of Bitcoin as an Investment” suggests a shift toward acceptance of Bitcoin (BTC) as an investment asset, as do recent actions by some large investors. Grayscale Bitcoin Trust (GBTC) offers a way for investors...
Below is a weekly summary of our research findings for 1/11/21 through 1/15/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber requested evaluation of three retirement investment alternatives, assuming a constant increment invested at the end of each month, as follows: 50-50: allocate each increment via fixed percentages to stocks and bonds (for comparability,...
Below is a weekly summary of our research findings for 1/4/21 through 1/8/21. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How might crypto-assets transform finance? In their December 2020 paper entitled “DeFi and the Future of Finance”, Campbell Harvey, Ashwin Ramachandran and Joey Santoro examine the potential for decentralized finance (DeFi) to disrupt traditional financial...
Below is a weekly summary of our research findings for 12/28/20 through 12/31/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How does the Cyclically Adjusted Price-to-Earnings ratio (CAPE, or P/E10) behave during the COVID-19 pandemic? What are its current implications? In the November 2020 revision of their paper entitled “CAPE and the COVID-19 Pandemic Effect”,...
Below is a weekly summary of our research findings for 12/21/20 through 12/24/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Simple Asset Class ETF Value Strategy” (SACEVS) finds that investors may be able to exploit relative valuation of the term risk premium, the credit (default) risk premium and the equity risk premium via exchange-traded funds (ETF)....
Many institutional investors are attempting to exploit alternative data (less structured and more obscure than traditional data) to boost portfolio performance, supporting a complex system of data collectors, aggregators and organizers. How do they approach...
Is there a better way than the Fed model to measure relative attractiveness of equities and bonds. In his October 2020 paper entitled “Towards a Better Fed Model”, Raymond Micaletti examines seven Fed Model alternatives,...
Below is a weekly summary of our research findings for 12/14/20 through 12/18/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do surprising fluctuations in short interest ratios of stocks indicate new information from short sellers that predicts returns of these stocks? In their November 2020 paper entitled “Surprise in Short Interest”, Matthias Hanauer, Pavel Lesnevski...
A subscriber asked about a strategy that switches between an equal-weighted portfolio of Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM) when the S&P 500 Index is above its 200-day simple moving average...
Do extreme equity market valuations represent opportunities in value stocks? In their October 2020 paper entitled “Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium”, Stefano Cassella, Zhaojing Chen, Huseyin Gulen and Ralitsa Petkova...
Target-date funds (TDFs) are popular fund-of-funds retirement investments that offer asset class diversification and periodic rebalancing aimed at a specific retirement year. TDFs typically charge layers of fees (fund-of-funds fee plus fees of underlying funds)....
Below is a weekly summary of our research findings for 12/7/20 through 12/11/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations...
Do options of individual stocks exhibit momentum and seasonality patterns? In their November 2020 paper entitled “Momentum, Reversal, and Seasonality in Option Returns”, Christopher Jones, Mehdi Khorram and Haitao Mo investigate momentum and seasonality effects...
Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest...
Below is a weekly summary of our research findings for 11/30/20 through 12/4/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stocks with high borrowing costs (loan fees) exhibit predictably low short-term returns? In their November 2020 paper entitled “Borrowing Fees and Expected Stock Returns”, Kaitlin Hendrix and Gavin Crabb explore whether stock loan fees...
Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning...