Investing Research Articles

Below is a weekly summary of our research findings for 12/2/24 through 12/6/24. 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.

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

How should investors think about potential shocks  to firm valuations and financial markets research from generative artificial intelligence (GenAI)? In their October 2024 paper entitled “AI and Finance”, Andrea Eisfeldt and Gregor Schubert review the literature on the effects of GenAI on (1) firm valuations and (2) financial research methods. They also offer an introduction to… Keep Reading

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 Trading: What Separates the Winners from the Losers?”, Franklin Gallegos-Erazo identifies factors that distinguish the few successful traders from the… Keep Reading

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 Returns”, Isaac Kelleher-Unger, Clare Levy and Chris Woodcock examine the link between professional investor decision-making and overall performance for long-only… Keep Reading

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 driving the U.S. Treasuries yield curve and explains how to gauge beliefs of market participants. He extracts investor rate expectations… 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. SACEMS rankings this month are so close that post-close ETF price adjustments could affect them. If so, we… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2024. SACEMS rankings are close and could change by the early close. SACEVS allocations are unlikely to change by the early close.

How do exchange-traded-funds (ETF) that employ artificial intelligence (AI) to pick assets perform? To investigate, we consider ten such ETFs, eight of which are currently available: Amplify AI Powered Equity ETF (AIEQ) – picks U.S. stocks based on a quantitative model that runs on the IBM Watson platform. QRAFT AI-Enhanced U.S. Large Cap ETF (QRFT)… Keep Reading