Investing Research Articles

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 entitled “Can GPT models be Financial Analysts? An Evaluation of ChatGPT and GPT-4 on Mock CFA Exams”, Ethan Callanan, Amarachi… Keep Reading

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 and Huiling Liao compare abilities of the following eight multi-factor models of stock returns to explain 133 stubbornly persistent stock… Keep Reading

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 time these four premiums in U.S., developed ex-U.S. and emerging equity markets. They define the premiums as: Market – the… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 their October 2023 paper entitled “Factor Zoo”, Alexander Swade, Matthias Hanauer, Harald Lohre and David Blitz assess compressibility of the… Keep Reading

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 Bias in Empirical Option Research”, Jefferson Duarte, Christopher Jones, Mehdi Khorram and Haitao Mo investigate the extent to which look-ahead… Keep Reading

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 Nguyen construct alternative indexes that select stocks based on fundamental measures of underlying firm size and then weight them by… Keep Reading

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 during November through April and idle cash during May through October. We consider three strategies: Best Value – EW Top… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 Assessment of Lifecycle Investment Advice”, Aizhan Anarkulova, Scott Cederburg and Michael O’Doherty present a lifecycle income/wealth model using stationary block… Keep Reading