Investing Research Articles

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

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.

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

A subscriber requested review of “Accelerating Dual Momentum [ADM] Investing”, which allocates all funds to U.S. stocks, international (ex-U.S.) small-capitalization stocks or long-term U.S. Treasury bonds, as follows: Each month, calculate for each of the two equity assets the sum of its 1-month, 3-month and 6-month past returns. If both sums are negative, buy U.S…. Keep Reading

Success of dynamic asset class allocations assumes that expected asset class returns, return riskiness and investor risk aversion change at least somewhat predictably over time. Are individual investors truly better off with dynamic (rather than static) allocations? In their October 2024 paper entitled “Victor Meets the Bogleheads: Comparing Static versus Dynamic Asset Allocation”, Victor Haghani… Keep Reading

Is U.S. equity market valuation outrunning its productive value? For perspective, we compare the trajectories of S&P 500 (SP500) index, earnings and dividends over recent decades and look at some potential explanations for divergences. Using quarterly SP500 data and 10-year U.S. Treasury note (T-note) yield during March 1988 through September 2024 and Shiller data as… Keep Reading

Below is a weekly summary of our research findings for 11/18/24 through 11/22/24. 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.