Recent Investing Research

Does combining widely used measures of equity market stress with news sentiment as interpreted by large language models such as ChatGPT support a robust risk-on/risk-off market timing strategy? In their April 2024 paper entitled “Stress Index Strategy Enhanced with Financial News Sentiment Analysis for the Equity Markets”, Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel,… Keep Reading

Can ChatGPT extract market sentiment from financial news that is useful for timing equity markets? In their April 2024 paper entitled “Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ”, Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez and Thomas Jacquot use ChatGPT to assess whether daily Bloomberg Global Markets Wrap,… Keep Reading

Do SEC Form 13F-based clones of hedge fund/institutional managers (funds) reliably match fund performances? In their March 2024 paper entitled “Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings”, Jan Schroeder and Peter Posch compare performances of portfolios that replicate liquid fund holdings as published in quarterly Form 13F filings to those of the… Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for April 2024.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for May 2024. SACEMS rankings probably will not change by the close, though the contest between second and third is close. SACEVS allocations are unlikely to change by the close.

Do short-selling hedge funds consistently extract alpha from exuberant retail traders? In their March 2024 paper entitled “Short-Selling Hedge Funds”, Jialin Qian, Zhen Shi and Baozhong Yang examine the performance of hedge funds engaged in short-selling, as follows: Which hedge funds are likely short-sellers, and how do they compare with other hedge funds? What factors… Keep Reading

Can long volatility investors improve performance of their portfolios by scaling positions inversely to some measure of volatility? In his March 2024 paper entitled “Volatility-Managed Volatility Trading”, Aoxiang Yang tests volatility risk premium (VRP) timing strategies that hold a volatility asset and a risk-free asset, with the weight of the former inverse to some measure… Keep Reading

Below is a weekly summary of our research findings for 4/22/24 through 4/26/24. 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.

Can Large Language Models (LLM) inject lookahead bias into backtests when rigor is lacking in generation of LLM training samples? In their preliminary and incomplete March 2024 paper entitled “Lookahead Bias in Pretrained Language Models”, Suproteem Sarkar and Keyon Vafa examine the potential for lookahead bias in backtests using the Llama-2 LLM to identify future firm… Keep Reading

Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO).  As in the referenced research, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total… Keep Reading