Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock...
Can investors beat a traditional 60%-40% stocks-bonds portfolio by adjusting allocations based on the earnings yield of stocks and the current yield of government bonds? In his March 2024 paper entitled “A Yield-based Asset Ratio...
Can artificial intelligence platforms such as ChatGPT be good stock day traders? In his March 2024 paper entitled “Can ChatGPT Generate Stock Tickers to Buy and Sell for Day Trading?”, Sangheum Cho tests whether ChatGPT...
Below is a weekly summary of our research findings for 4/1/24 through 4/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors reliably capture illiquidity-driven stock price noise, short-term deviations in price from some measurable fair value? In their February 2024 paper entitled “Intraday Residual Reversal in the U.S. Stock Market”, Jonathan Brogaard, Jaehee Han...
Can holders of popular large-capitalization stocks improve portfolio performance by systematically buying or selling options on these stocks? In their February 2024 paper entitled “The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from...
Can day traders get rich with an Opening Range Breakout (ORB) strategy that buys (sells) unusually active stocks with positive (negative) opens that break out to new highs (lows) during the first five minutes of...
Do economic data releases trigger predictably large returns in short-term equity index options? In their February 2024 paper entitled “Expected 1DTE Option Returns”, Michael Johannes, Andreas Kaeck, Norman Seeger and Neel Shah analyze returns to...
Technological disruption (as experienced with widespread electrification and the rise of the world-wide web, and imagined for artificial intelligence) is a recurring feature of human history. Such disruptions presents risks and opportunities for investors. How...
Below is a weekly summary of our research findings for 3/25/24 through 3/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked for assessment of a strategy that holds 70% SPDR S&P 500 ETF Trust (SPY) and 30% SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) (SPY-BIL 70-30), rebalanced every eight weeks, with explicit comparison...
Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday...
Below is a weekly summary of our research findings for 3/18/24 through 3/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Using the Money Anxiety Index for ETF Selection” examines whether the proprietary Money Anxiety Index (MAI) can select long and short portfolios of ETFs that beat the S&P 500 Index (ignoring dividends). Test outputs are...
Does anxiety about having enough money play an important role in asset selection decisions, and thereby asset returns? In his March 2024 paper entitled “Money Anxiety Theory – a Predictor of Equity’s Performance”, Dan Geller...
How different are stock market performance metrics for: Capital gains only, capital gains plus dividends accrued as cash (spent or saved), and capital gains plus dividends reinvested in the stock market? Nominal versus real returns?...
What happens to mispriced stocks when associated firms issue positive or negative news? In their February 2024 paper entitled “Beauty Contests and Higher Order Beliefs: Evidence from News Releases”, Tarun Chordia, Bin Miao and Joonki...
Below is a weekly summary of our research findings for 3/11/24 through 3/15/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber observed that backtesting of momentum-based trading systems typically assumes perfect rebalancing each month whether or not they select new assets. Would delaying rebalancing until new assets are selected improve strategy performance? To investigate,...
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate...
Referring to “Substitute QQQ for SPY in SACEVS and SACEMS?” and “Conditionally Substitute SSO for SPY in SACEVS and SACEMS?”, a subscriber requested a horse race for boosting the performance of the Simple Asset Class ETF...
Some exchange-traded funds (ETF) focus on capturing potentially attractive factor premiums or thematic niches. Their histories offer a way to test these concepts live. We have conducted many such tests, listed here to offer a...
Below is a weekly summary of our research findings for 3/4/24 through 3/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The inflation rate is a fundamental determinant of the discount rate used to calculate the present value of an asset. Changes in inflation therefore affect asset valuations. Do experts, as polled in the quarterly Survey...
Is an investment strategy that follows trends in economic fundamentals (rather than asset prices) an attractive alternative to conventional momentum? In their January 2024 paper entitled “Economic Trend”, Jordan Brooks, Noah Feilbogen, Yao Hua Ooi...