How should investors think about research using long-run financial data? In their October 2024 paper entitled “Long-Run Asset Returns”, David Chambers, Elroy Dimson, Antti Ilmanen and Paul Rintamäki survey the body of evidence on historical...
Below is a weekly summary of our research findings for 12/9/24 through 12/13/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can expected trading frictions, as derived from trading volume forecasts, materially improve active stock portfolio net performance? In the May 2024 version of their paper entitled “Trading Volume Alpha”, flagged by a subscriber, Ruslan Goyenko,...
Are the human choices in studies that apply machine learning models to forecast stock returns critical to findings? In other words, is there a confounding machine learning design choices zoo? In their November 2024 paper...
A subscriber wondered whether choosing the fourth place asset class exchange-traded fund (ETF) rather than the third place class ETF for monthly reformation of the Simple Asset Class ETF Momentum Strategy (SACEMS) would matter if...
Do some stocks entail emotional relationships that alter investor perceptions of risk and return? Is the effect exploitable? In their November 2024 paper entitled “Investor Emotions and Asset Prices”, Shehub Bin Hasan, Alok Kumar and...
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...
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...
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...
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...
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...
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...
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...
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...
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...
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...
Since 1990, the Federal Reserve Bank of Philadelphia has conducted a quarterly Survey of Professional Forecasters. The American Statistical Association and the National Bureau of Economic Research conducted the survey from 1968-1989. Among other things,...
Can investors safely use leverage to squeeze incremental return from low-volatility/factor-tilted stocks, thereby avoiding underperformance of these stocks during bull markets? In their October 2024 paper entitled “Low-Risk Alpha Without Low Beta”, David Blitz, Clint...
What topics are hot and cold in finance research? In their October 2024 paper entitled “Tracing the Evolution of Finance Research: A Topic Modeling Analysis of AJG-Ranked Journals”, Yang Su, Brian Lucey and Ashish Jha...
Below is a weekly summary of our research findings for 11/11/24 through 11/15/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does degree of co-movement among commodity exchange-traded funds (ETF) predict whether momentum or reversal is imminent? In their September 2024 paper entitled “How to Improve Commodity Momentum Using Intra-Market Correlation”, Radovan Vojtko and Margaréta Pauchlyová...
When the U.S. government runs substantial deficits, some experts proclaim the dollar’s inevitable inflationary debasement and bad times for stocks. Other experts say that deficits are no cause for alarm, because government spending stimulates the...
Below is a weekly summary of our research findings for 11/4/24 through 11/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How can the low-volatility effect, whereby stocks with low past volatility tend to outperform the market on a risk-adjusted basis (but lag during long bull markets), help achieve common investment goals? In their October 2024...
How can schemers use statistics to fool investors? In the October 2024 revision of their paper entitled “The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People”, Carlo Zarattini and Andrew...