Investing Research Articles

Below is a weekly summary of our research findings for 8/28/23 through 9/1/23. 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.

Referring to commonly used Relative Strength Index (RSI) oversold parameter settings, but seeking to avoid exiting rebounds too soon, a subscriber asked about performances of the following four rules as applied to SPDR S&P 500 ETF Trust (SPY): Buy when daily RSI 14 falls under 30 and hold for six months. Buy when daily RSI… Keep Reading

Should investors trust artificial intelligence (AI) models such as ChatGPT to pick stocks? In their August 2023 paper entitled “ChatGPT-based Investment Portfolio Selection”, Oleksandr Romanko, Akhilesh Narayan and Roy Kwon explore use of ChatGPT to recommend 15, 30 or 45 S&P 500 stocks, with portfolio weights, based on textual sentiment as available to Chat GPT… Keep Reading

Does the Labor Day holiday, marking the end of summer vacations, signal any unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor Day,… Keep Reading

Is dispersion of stock return forecasts from different machine learning models trained on the same history (as a proxy for variation in human beliefs) a useful predictor of stock returns? In their August 2023 paper entitled “Machine Forecast Disagreement”, Turan Bali, Bryan Kelly, Mathis Moerke and Jamil Rahman relate dispersion in 100 monthly stock return… Keep Reading

What is the right balance between seeking alpha and avoiding taxes? In their August 2023 paper entitled “Alpha Now, Taxes Later: Tax-Efficient Long-Only Factor Investing”, Yin Chen and Roni Israelov assess trade-offs between rebalancing benefits and tax avoidance from overlapping 10-year backtests of long-only momentum, value, quality and safety factor stock portfolios. They measure momentum… Keep Reading

Below is a weekly summary of our research findings for 8/21/23 through 8/25/23. 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.

Alternative assets (private equity, private market real estate, hedge funds and other assets apart from stocks and bonds) constitute approximately 30% of U.S. public pension fund portfolios and 60% of large U.S. endowment portfolios. Are they beneficial? In his August 2023 paper entitled “Have Alternative Investments Helped or Hurt?”, Richard Ennis examines impacts of alternative… Keep Reading

Is systematically selling covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider four equity put-write ETFs, two dead and two living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree PutWrite Strategy Fund (PUTW) – index-oriented (living)…. Keep Reading

In response to “PPI and the Stock Market”, a subscriber hypothesized that increases and decreases in the ratio of the Consumer Price Index (CPI) to the Producer Price Index (PPI) are bullish and bearish for the stock market, respectively. The reasoning for the hypothesis is that CPI reflects aggregate corporate revenue, while PPI reflects aggregate… Keep Reading