Despite access to elaborate trading platforms and real-time data, the large majority of speculative traders incur substantial losses (see, for example the chart below). In his August 2024 paper entitled “The Myth of Profitable Day...
Is detailed decision-making prowess a better metric than past performance for comparing portfolio managers? In their October 2024 paper entitled “Actions Speak Louder Than (Past) Performance: The Relationship Between Professional Investors’ Decision-Making Skill and Portfolio...
Given anxiety among investors about the rapid rise of U.S. public debt, are U.S. Treasuries fairly valued? In his July 2024 paper entitled “A Historical Perspective on US Treasuries Risk Premia”, Olivier Davanne describes factors...
Below is a weekly summary of our research findings for 11/25/24 through 11/29/24. 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 review of “Accelerating Dual Momentum [ADM] Investing”, which allocates all funds to U.S. stocks, international (ex-U.S.) small-capitalization stocks or long-term U.S. Treasury bonds, as follows: Each month, calculate for each of the...
Success of dynamic asset class allocations assumes that expected asset class returns, return riskiness and investor risk aversion change at least somewhat predictably over time. Are individual investors truly better off with dynamic (rather than...
Below is a weekly summary of our research findings for 11/18/24 through 11/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Since 1990, the Federal Reserve Bank of Philadelphia has conducted a quarterly Survey of Professional Forecasters. The American Statistical Association and the National Bureau of Economic Research conducted the survey from 1968-1989. Among other things,...
Can investors safely use leverage to squeeze incremental return from low-volatility/factor-tilted stocks, thereby avoiding underperformance of these stocks during bull markets? In their October 2024 paper entitled “Low-Risk Alpha Without Low Beta”, David Blitz, Clint...
What topics are hot and cold in finance research? In their October 2024 paper entitled “Tracing the Evolution of Finance Research: A Topic Modeling Analysis of AJG-Ranked Journals”, Yang Su, Brian Lucey and Ashish Jha...
Below is a weekly summary of our research findings for 11/11/24 through 11/15/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does degree of co-movement among commodity exchange-traded funds (ETF) predict whether momentum or reversal is imminent? In their September 2024 paper entitled “How to Improve Commodity Momentum Using Intra-Market Correlation”, Radovan Vojtko and Margaréta Pauchlyová...
When the U.S. government runs substantial deficits, some experts proclaim the dollar’s inevitable inflationary debasement and bad times for stocks. Other experts say that deficits are no cause for alarm, because government spending stimulates the...
Below is a weekly summary of our research findings for 11/4/24 through 11/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How can the low-volatility effect, whereby stocks with low past volatility tend to outperform the market on a risk-adjusted basis (but lag during long bull markets), help achieve common investment goals? In their October 2024...
How can schemers use statistics to fool investors? In the October 2024 revision of their paper entitled “The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People”, Carlo Zarattini and Andrew...
The market view of Bitcoin has increasingly shifted from a potentially useful currency to an investment asset with no yield but potentially high capital gain. What are the implications of its success in the latter...
Can investors reliably exploit the somewhat opaquely presented strategy summarized in “Using Wilder Volatility Stops to Time the U.S. Stock Market”, which employs Welles Wilder’s Average True Range (ATR) volatility metric to generate buy and...
Below is a weekly summary of our research findings for 10/28/24 through 11/1/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do some mutual fund managers game Morningstar ratings/benchmarks by shifting the styles of their funds? In their September 2024 paper entitled “Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings”, Lauren Cohen, David Kim and...
Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by...
Does investor fear level predict U.S. Treasury instrument returns? In their September 2024 paper entitled “Fear in the ‘Fearless’ Treasury Market”, Tianyang Wang, Yuanzhi Wang, Qunzi Zhang and Guofu Zhou examine how investor fear relates...
Can Google’s large language model (LLM), Gemini, beat simple benchmarks by picking a small portfolio of stocks? In their September 2024 paper entitled “Can AI Beat a Naive Portfolio? An Experiment with Anonymized Data”, Marcelo...
Below is a weekly summary of our research findings for 10/21/24 through 10/25/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do funds based on Jim Cramer’s stock/market recommendations generate attractive returns? To investigate, we compare performances for Northern Lights Fund Trust IV – Long Cramer Tracker ETF (LJIM) and Northern Lights Fund Trust IV –...