What happens if we extend the “Simple Asset Class ETF Value Strategy” (SACEVS) with a real estate risk premium, derived from the yield on equity Real Estate Investment Trusts (REIT), represented by the FTSE NAREIT Equity REITs Index?...
Does the U.S. stock market have a predictable pattern of returns around ends of calendar quarters? Do funds deploy cash to bid stocks up at quarter ends to boost portfolio values in quarterly reports (with...
Below is a weekly summary of our research findings for 6/10/24 through 6/14/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Tech Equity Premium?”, a subscriber asked about substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPY or iShares Barclays 20+...
A subscriber requested validation of the performance of a simple momentum strategy that each month selects the best performing debt mutual fund based on total return over the past three months. To investigate, we test...
Below is a weekly summary of our research findings for 6/3/24 through 6/7/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are large language models such as GPT-4 as effective as professional human analysts in interpreting numerical financial statements? In their May 2024 paper entitled “Financial Statement Analysis with Large Language Models”, Alex Kim, Maximilian Muhn...
A subscriber noted and asked: “Michigan (at one point) claimed that the inflation expectations part of their survey of consumers was predictive. That was from a paper long ago. I wonder if it is still...
In response to “Money Supply (M2) and the Stock Market”, a subscriber commented: “I’ve always thought…that both M2 and velocity were needed. If there’s more money, but it is not circulating, then it doesn’t have...
in response to “Money Supply (M2) and the Stock Market”, A reader commented: “M2 cannot be an accurate money supply measure because it includes non-cash investments such as money market mutual funds. When the stock...
Below is a weekly summary of our research findings for 5/28/24 through 5/31/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Some investing experts cite change in money supply as a potentially important driver of future stock market behavior. When money supply grows (shrinks), they theorize, nominal asset prices tend to go up (down). Or conversely,...
Is intraday time series momentum of a very liquid exchange-traded fund (ETF) such as SPDR S&P 500 ETF Trust (SPY) exploitable? In their May 2024 paper entitled “Beat the Market: An Effective Intraday Momentum Strategy...
How should investors think about the correlation between stock market returns and bond market returns when constructing a diversified portfolio? In their April 2024 paper entitled “Stock-Bond Correlation: Theory & Empirical Results”, Lorenzo Portelli and...
Below is a weekly summary of our research findings for 5/20/24 through 5/24/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is the price of gold too high? In their May 2024 paper entitled “Is There Still a Golden Dilemma?”, Claude Erb and Campbell Harvey revisit their golden dilemma, the tug of war between dueling ideas:...
After seeing “Review of the Quantified Market Psychology Strategy”, reader Steve Ruoff requested review of his U.S. Treasuries timing strategy as recorded at Timertrac (Duration Strategy), which approximately every four weeks generates allocations to: Direxion Daily...
Below is a weekly summary of our research findings for 5/13/24 through 5/17/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What does the body of research say about implications of new social media for financial markets? In their April 2024 paper entitled “Social Media and Finance”, Anthony Cookson, William Mullins and Marina Niessner survey research...
Does Federal Reserve (Fed) policy strongly and differently affect individual stock? In his April 2024 paper entitled “Navigating Federal Reserve Policy with IFED”, Rufus Rankin analyzes performance of the Invest With the Fed (IFED) stock...
Below is a weekly summary of our research findings for 5/6/24 through 5/10/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How well do simple option strategies work when applied to equity and bond exchange-traded funds (ETF)? In his April 2024 paper entitled “Effectiveness of Various Options Strategies for Exchange-Traded Funds“, Rishikesh Mahadevan tests five simple...
Can large language models like ChatGPT work with numbers to support technical analysis of stock returns rather than just words to support sentiment analysis? In his April 2024 paper entitled “StockGPT: A GenAI Model for...
Are there predictable dollar exchange rate trends according to which U.S. political party is in power? In their March 2024 paper entitled “Presidential Cycles and Exchange Rates”, Pasquale Della Corte and Hsuan Fu investigate whether...
Is shorting leveraged exchange-traded funds (LETF) reliably attractive? In their March 2024 paper entitled “Investigating Long-Term Short Pairing Strategies for Leveraged Exchange-Traded Funds Using Machine Learning Techniques”, Hamed Khadivar, Elaheh Nikbakht and Thomas Walker test...