Investing Research Articles

Does machine learning reliably offer better risk-adjusted portfolio performance than traditional modern portfolio theory (MPT)? In their August 2023 paper entitled “Comparing Deep RL and Traditional Financial Portfolio Methods”, Eric Benhamou, Jean-Jacques Ohana, Beatrice Guez, David Saltiel, Rida Laraki and Jamal Atif compare principles, methodologies and risk-adjusted performances of dynamic deep reinforcement learning (DRL) and… Keep Reading

How do exchange-traded-funds (ETF) focused on supplying renewable energy perform? To investigate, we consider nine of the largest renewable energy ETFs, all currently available, as follows: iShares Global Clean Energy (ICLN) Invesco Solar (TAN) First Trust NASDAQ Clean Edge Green Energy Index (QCLN) Invesco WilderHill Clean Energy (PBW) ALPS Clean Energy (ACES) Invesco Global Clean… Keep Reading

Below is a weekly summary of our research findings for 10/9/23 through 10/13/23. 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 investors use leveraged exchange-traded funds (ETF) to construct attractive versions of simple 60%/40% (60/40) and 40%/60% (40/60) stocks-bonds portfolios? In their March 2020 presentation package entitled “Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance”, flagged by a subscriber, Mikhail Smirnov and Alexander Smirnov consider several variations of classic stocks/bonds portfolios implemented… Keep Reading

A subscriber asked about current evidence that high-dividend stocks outperform the market. To investigate, we compare performances of 10  exchange-traded funds (ETFs) holding high-dividend stocks to that of SPDR S&P 500 (SPY) as a proxy for the U.S. stock market. The  high-dividend stock ETFs, from oldest to newest, are: iShares Select Dividend ETF (DVY) Invesco Dividend… Keep Reading

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, the survey solicits from experts probabilities of U.S. economic recession (negative GDP growth) during each of the next four quarters…. Keep Reading

Prior research indicates that stocks of firms with high direct and indirect carbon dioxide emissions tend to beat the market (offer a carbon premium). Does high-emissions stock outperformance derive from surprisingly high earnings? In their September 2023 paper entitled “Does the Carbon Premium Reflect Risk or Mispricing?”, Yigit Atilgan, Ozgur Demirtas, Alex Edmans and Doruk… Keep Reading

Does quantified uncertainty in government economic policy reliably predict stock market returns? To investigate, we consider the U.S. Economic Policy Uncertainty (EPU) Index, created by Scott Baker, Nicholas Bloom and Steven Davis and constructed from three components: Coverage of policy-related economic uncertainty by prominent newspapers. Number of temporary federal tax code provisions set to expire in… Keep Reading

Below is a weekly summary of our research findings for 10/2/23 through 10/6/23. 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.

Will emerging artificial intelligence (AI) tools such as the generative large language model ChatGPT have important roles in the economy, including asset management? In his September 2023 paper entitled “Generative AI: Overview, Economic Impact, and Applications in Asset Management”, Martin Luk reviews the evolution of generative AI models, their economic impact and their applications in… Keep Reading