How do individual asset classes react to monthly inflation indications? To investigate, we relate future monthly returns for the following 10 asset class exchange-traded fund (ETF) proxies to monthly changes in the U.S. Consumer Price...
Do Relative Rotation Graphs (RRG), which visually segregate assets into leading, weakening, lagging or improving quadrants by relative performance, effectively identify equity sectors with relatively strong future returns? In his September 2023 paper entitled “Dynamic...
Can artificial intelligence (AI) models help investors quantify vague firm risks through textual analysis? In their October 2023 paper entitled “From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI”, Alex Kim, Maximilian Muhn and...
Below is a weekly summary of our research findings for 10/16/23 through 10/20/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does machine learning reliably offer better risk-adjusted portfolio performance than traditional modern portfolio theory (MPT)? In their August 2023 paper entitled “Comparing Deep RL and Traditional Financial Portfolio Methods”, Eric Benhamou, Jean-Jacques Ohana, Beatrice Guez,...
Below is a weekly summary of our research findings for 10/9/23 through 10/13/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Prior research indicates that stocks of firms with high direct and indirect carbon dioxide emissions tend to beat the market (offer a carbon premium). Does high-emissions stock outperformance derive from surprisingly high earnings? In their...
Does quantified uncertainty in government economic policy reliably predict stock market returns? To investigate, we consider the U.S. Economic Policy Uncertainty (EPU) Index, created by Scott Baker, Nicholas Bloom and Steven Davis and constructed from three...
Below is a weekly summary of our research findings for 10/2/23 through 10/6/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Will emerging artificial intelligence (AI) tools such as the generative large language model ChatGPT have important roles in the economy, including asset management? In his September 2023 paper entitled “Generative AI: Overview, Economic Impact, and...
Can network analysis discover useful momentum spillover across asset classes? In their August 2023 paper entitled “Network Momentum across Asset Classes”, Xingyue (Stacy) Pu, Stephen Roberts, Xiaowen Dong and Stefan Zohren employ a graph machine...
Each month, the Institute for Supply Management (ISM) each month generates the Services Purchasing Managers Index (PMI), aggregating monthly inputs from purchasing and supply executives in services firms across the U.S. regarding business activity, new...
According to the Institute for Supply Management (ISM) each month generates the Manufacturing Purchasing Managers’ Index (PMI), aggregating monthly inputs from purchasing and supply executives in manufacturing firms across the U.S. regarding new orders, production, employment,...
Below is a weekly summary of our research findings for 9/25/23 through 9/29/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 9/18/23 through 9/22/23. 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 whether aggregate U.S. state tax revenues, as an indicator of economic activity, lead the U.S. stock market. To investigate, we compare behaviors of total quarterly state tax collections and SPDR S&P 500...
Will equity funds “managed” by artificial intelligence (AI) outperform human investors? To investigate, we consider the performance of AI Powered Equity ETF (AIEQ). Per the offeror, the EquBot model supporting AIEQ: “…leverages IBM’s Watson AI...
Below is a weekly summary of our research findings for 9/11/23 through 9/15/23. 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 how Apple Inc. (AAPL) stock behaves around unveiling of new iPhone models. To investigate, we identify 19 distinct iPhone series release dates from 6/29/07 through 9/16/22 and calculate average daily cumulative returns...
Are concentrated stock portfolios inherently disadvantaged by lack of diversification? In his June 2023 paper entitled “Underperformance of Concentrated Stock Positions”, Antti Petajisto analyzes rolling future returns for individual U.S. stocks relative to the broad...
Are new machine learning portfolio strategies practically better than old stock factor ways? In their August 2023 paper entitled “Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time”, Nusret Cakici, Christian Fieberg, Daniel...
The conventional approach to measuring equity factor returns is via hedge portfolios that are long (short) the equal-weighted or value-weighted extreme highest (lowest) fifth or tenth of stocks sorted by some firm/stock characteristic. Is there...
Below is a weekly summary of our research findings for 9/5/23 through 9/8/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stock prices confirm that firms with high market power maintain profitability during times of high inflation because they can raise prices, while those with low market power cannot? In their August 2023 paper entitled...
What is the best way to exploit U.S. federal government tax code allowing capital losses to offset current or future capital gains and up to $3,000 of current regular income? In his August 2023 paper...