Investing Research Articles

Can artificial intelligence (AI), in the form of a deep-learning neural network, outperform human analysts in predicting stock prices at an annual horizon? In the May 2024 revision of his paper entitled “Can AI Replace Stock Analysts? Evidence from Deep Learning Financial Statements”, Nathan Dong tests the ability of a 5-layer neural network to predict… Keep Reading

“Countercyclical Asset Allocation Strategy” summarizes research on a simple countercyclical asset allocation strategy that systematically raises (lowers) the allocation to an asset class when its current aggregate allocation is relatively low (high). The underlying research is not specific on calculating portfolio allocations and returns. To corroborate findings, we use annual mutual fund and exchange-traded fund (ETF) allocations… Keep Reading

Is industry trend-following an attractive strategy over the long run? In their June 2024 paper entitled “A Century of Profitable Industry Trends”, Carlo Zarattini and Gary Antonacci evaluate the long-term performance of a long-only industry trend-following (Timing Industry) strategy, modeled as follows: Entry – buy an industry when its daily closing price crosses above the… Keep Reading

Is copper price a reliable leading indicator of economic activity and therefore of future corporate earnings and equity prices? To investigate, we employ the monthly price index for copper base scrap from the U.S. Bureau of Labor Statistics, which spans multiple economic expansions and contractions. Using monthly levels of the copper scrap price index and… 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. We have updated the Trading Calendar to incorporate data for June 2024.

Below is a weekly summary of our research findings for 6/24/24 through 6/28/24. 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 July 2024. SACEMS rankings are unlikely to change by the close. SACEVS allocations are unlikely to change by the close.

Is the Buffett Indicator, the ratio of total U.S. stock market capitalization (proxied by Wilshire 5000 Total Market Index W5000) to U.S. Gross Domestic Product (GDP), a useful indicator of future U.S. stock market performance? W5000/GDP clearly has no stable average value over its available history (see the first chart below), so the level of the… Keep Reading

Are there interactions between stock return momentum and days of the week? In their March 2024 paper entitled “Same-Weekday Momentum”, Zhi Da and Xiao Zhang investigate how momentum interacts with days of the week. They first perform regression tests to evaluate abilities of same-day and other-day past returns to predict day-of-the-week momentum. They then evaluate… Keep Reading

Do funds based on holdings/trades of members of the U.S. Congress and their families beat the market? To investigate, we look at performances of two recently introduced exchange-traded funds (ETF): Unusual Whales Subversive Democratic Trading ETF (NANC) – invests primarily in stocks held by Democratic members of Congress and/or their families per public disclosure filings…. Keep Reading