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Allocations for May 2024 (Final)
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Investing Research Articles

3517 Research Articles

SACEMS, SACEVS and Trading Calendar Updates

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.

Preliminary SACEMS and SACEVS Allocation Updates

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.

Coordinated Retail Traders Won the War with Short Sellers?

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

Inverse-volatility Weighting of Volatility Assets

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

Weekly Summary of Research Findings: 4/22/24 – 4/26/24

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.

Lookahead Bias in Large Language Model Training Data

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

Turn-of-the-Month Effect Applied to SSO

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

Expert Estimates of 2024 Country Equity Risk Premiums and Risk-free Rates

What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their March 2024 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 96 countries in 2024”, Pablo Fernandez, Diego García de la Garza and Javier Acin summarize results of a February 2024 email survey of international finance… Keep Reading

Live Test of the Stock Market Overnight Move Effect (Final)

Is the stock market overnight move effect exploitable? To investigate, we look at performances of two exchange-traded funds (ETF) designed to exploit the effect: NightShares 500 ETF (NSPY), which “seeks to return the night performance of a portfolio of 500 large cap U.S. companies.” The benchmark is SPDR S&P 500 ETF Trust (SPY). NightShares 2000… Keep Reading

The Greenium

How much do investors gain or sacrifice by focusing their portfolios on “sustainable” (green) stocks? In their March 2024 paper entitled “In Search of the True Greenium”, Marc Eskildsen, Markus Ibert, Theis Jensen and Lasse Pedersen broadly examine the green-minus-brown premium (the greenium). Specifically, they: Replicate and extend past studies to estimate the U.S. equity… Keep Reading