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3539 Research Articles

Update of a Lumber/Gold Risk-on/Risk-off Strategy

A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

Summary of Research on Social Media and Financial Markets

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 on social media in finance, distinguishing between research using social media to explore investor behaviors and research on the effects… Keep Reading

Testing IFED ETNs

“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances since inception of two exchange-traded note (ETN) offerings: ETRACS IFED Invest with the Fed TR Index ETN (IFED), with SPDR… Keep Reading

Invest with the Fed?

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 selection strategy, which selects portfolios positioned to prosper across environments signaled by Fed actions. Specifically, the strategy selects individual equities… Keep Reading

Best Equity Risk Premium

What are the different ways of estimating the equity risk premium, and which one is best? In the March 2024 update of his paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2024 Edition”, Aswath Damodaran updates a comprehensive overview of equity risk premium estimation. He examines why different approaches to estimating… Keep Reading

Weekly Summary of Research Findings: 5/6/24 – 5/10/24

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

Returns and Volatilities of ETF Option Strategies

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 option strategies on ETFs, with all options held to expiration: Covered Call – sell a call option on an ETF… Keep Reading

Making AI Do Numbers to Predict Stock Returns

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 Stock Prediction and Trading”, Dat Mai introduces StockGPT, an autoregressive model trained and tested on stock returns rather than firm… Keep Reading

Party in Power and Currency Exchange Rates

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 the party holding the U.S. presidency predicts the dollar exchange rate. Their presidential cycle starts in November with a presidential… Keep Reading

Best Approach for Shorting Leveraged ETFs?

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 the profitability of continually shorting seven portfolios of matched pairs of bull and bear LETFs: 100% bull. 75% bull and… Keep Reading