March 18, 2024 - Sentiment Indicators
What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki Noh examine interactions of stock mispricing and news release sentiment. They consider 11 mispricing signals to identify overpriced and underpriced… Keep Reading
March 15, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. 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.
March 15, 2024 - Strategic Allocation
A subscriber observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate, we compare the following two versions of the Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2 portfolio:… Keep Reading
March 14, 2024 - Equity Premium, Fundamental Valuation
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate corporate earnings divided by corresponding stock index level. The REY model adjusts this earnings yield by subtracting the inflation rate… Keep Reading
March 13, 2024 - Equity Premium, Strategic Allocation
Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), based on substituting: ProShares Ultra… Keep Reading
March 12, 2024 - Economic Indicators
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for February 2024. The actual total (core) inflation rate is very slightly lower than (very slightly lower than) forecasted.
March 12, 2024 - Big Ideas, Investing Expertise
Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a global view. “U.S. Equity Premium?” – evidence from simple tests on about 21 years of data suggests that stock market… Keep Reading
March 11, 2024 - Individual Gurus
Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the current state of and prospects for the U.S…. Keep Reading
March 8, 2024 - Miscellaneous
Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. 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.
March 8, 2024 - Equity Premium, Investing Expertise
How do exchange-traded-funds (ETF) that employ artificial intelligence (AI) to pick assets perform? To investigate, we consider six such ETFs, all currently available, as follows: Amplify AI Powered Equity ETF (AIEQ) – picks U.S. stocks based on a quantitative model that runs on the IBM Watson platform. VanEck Social Sentiment ETF (BUZZ) – picks U.S…. Keep Reading