Recent Investing Research

“Simplest Asset Class ETF Momentum Strategy Update” updates performance of a strategy that each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50% to Simple Asset Class ETF Value… Keep Reading

Should investors consider portfolio volatility when choosing allocations to stocks and bonds in their retirement accounts? In his October 2023 paper entitled “Retirement Planning: The Volatility-Adjusted Coverage Ratio”, Javier Estrada introduces volatility-adjusted coverage ratio (VAC) as an alternative retirement portfolio metric. He defines this metric as coverage ratio (C, number of years of withdrawals supported… Keep Reading

The Conference Board “publishes leading, coincident, and lagging indexes designed to signal peaks and troughs in the business cycle for major economies around the world,” including the widely cited Leading Economic Index (LEI) for the U.S. Does LEI predict stock market behavior? Using the as-released monthly change in LEI from archived Conference Board press releases… Keep Reading

Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating earnings ratio (P/E) to the percentage of respondents saying “yes” to the recurring Gallup polling question: “In general, are you… Keep Reading

Is there an exploitable way to find which stocks lead and which stocks lag in returns? In their October 2023 paper entitled “Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies”, Álvaro Cartea, Mihai Cucuringu and Qi Jin test three ways to measure and exploit linear and non-linear lead-lag relationships in individual stock returns via… Keep Reading

Below is a weekly summary of our research findings for 11/27/23 through 12/1/23. 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.

Can the large language model GPT-4 help investors make investment decisions? In their October 2023 paper entitled “Can ChatGPT Assist in Picking Stocks?”, Matthias Pelster and Joel Val conduct a live test during the 2023 second quarter earnings announcements of the value and timeliness of investment advice from GPT-4 augmented with WebChatGPT for internet access…. 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 November 2023.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2023. SACEMS rankings could change by the close due to competition for third and fourth places. SACEVS allocations probably will not change by the close.

“SACEMS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS). “SACEVS with Margin” investigates the use of target 2X leverage via margin to boost the performance of the “Simple Asset Class ETF Value Strategy” (SACEVS). In response, a subscriber requested a sensitivity test of 1.25X,… Keep Reading