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Investing Research Articles

3584 Research Articles

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

Failure of Non-causal Factor Strategies

Do widely used associational (rather than causal) methods used by researchers to specify factor models of asset returns work? In their March 2024 paper entitled “The Case for Causal Factor Investing”, Marcos Lopez de Prado, Alex Lipton and Vincent Zoonekynd describe the shortcomings of associational methods of factor model development. They address p-hacking (data snooping),… Keep Reading

Weekly Summary of Research Findings: 4/29/24 – 5/3/24

Below is a weekly summary of our research findings for 4/29/24 through 5/3/24. 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.

Combining Equity Market Stress and Sentiment Indications

Does combining widely used measures of equity market stress with news sentiment as interpreted by large language models such as ChatGPT support a robust risk-on/risk-off market timing strategy? In their April 2024 paper entitled “Stress Index Strategy Enhanced with Financial News Sentiment Analysis for the Equity Markets”, Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel,… Keep Reading

ChatGPT-generated Financial News Sentiment and NASDAQ Returns

Can ChatGPT extract market sentiment from financial news that is useful for timing equity markets? In their April 2024 paper entitled “Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ”, Baptiste Lefort, Eric Benhamou, Jean-Jacques Ohana, David Saltiel, Beatrice Guez and Thomas Jacquot use ChatGPT to assess whether daily Bloomberg Global Markets Wrap,… Keep Reading

Form 13F Clone Portfolio Performance

Do SEC Form 13F-based clones of hedge fund/institutional managers (funds) reliably match fund performances? In their March 2024 paper entitled “Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings”, Jan Schroeder and Peter Posch compare performances of portfolios that replicate liquid fund holdings as published in quarterly Form 13F filings to those of the… Keep Reading

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.