A subscriber asked about the performance of a strategy that each month rebalances to 60% international equities and 40% international corporate bonds (both non-U.S.), and how this performance compares to that of a portfolio that...
Instead of searching among hundreds of firm/stock characteristics to identify those that best predict stock returns, what about first finding the stocks with the highest and lowest past returns and then examining the characteristics of...
What happens as more and more web-scraped training data for Large Language Models (LLM), such as ChatGPT, derives from outputs of predecessor LLMs? In their May 2023 paper entitled “The Curse of Recursion: Training on...
Below is a weekly summary of our research findings for 6/19/23 through 6/23/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Tech Premium Boost for Simplest Asset Class Momentum Strategy?”, a subscriber asked about testing the combination of Vanguard Growth Index Fund (VUG) and Vanguard Total Bond Market Index Fund (BND) in the...
Below is a weekly summary of our research findings for 6/12/23 through 6/16/23. 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 requested evaluation of a streamlined version of the Simple Asset Class ETF Momentum Strategy (SACEMS) that considers only three exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares Barclays 20+ Year Treasury Bond (TLT)...
Which alternative risk premiums (ARP) protect against stock and bond market crashes via return correlations/betas that remain low during such events? In their May 2023 paper entitled “Does Alternative Risk Premia Diversify? New Evidence for...
In his 2023 book, The Uncertainty Solution: How to Invest with Confidence in the Face of the Unknown, author John Jennings seeks “to provide individual investors with mental models that will help them make better...
Below is a weekly summary of our research findings for 6/5/23 through 6/9/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What characteristics of U.S. equity factor return series are most relevant to respective factor performance? In his May 2023 paper entitled “The Cross-Section of Factor Returns” David Blitz explores long-term average returns and market alphas,...
Do the stocks that dominate shareholder wealth-building (accounting for share price changes, dividends, repurchases/new share issuances and investor money flows) increasing concentrate within a small pool? In his May 2023 paper entitled “Shareholder Wealth Enhancement”,...
Are the latest forms of artificial intelligence (AI) better at forecasting stock market returns than humans? In his February 2023 preliminary paper entitled “Surveying Generative AI’s Economic Expectations”, Leland Bybee summarizes results of monthly and...
Why is trend following so persistently popular among investors? In their March 2022 paper entitled “A Guide to Trend Following Strategies”, Stuart Broadfoot and Daniel Leveau describe popular trend identification methods and provide an example...
Should investors in low-cost mutual funds consider active ones? In his April 2023 paper entitled “Vanguard and Fidelity Domestic Active Stock Funds: Both Beat their Style Mimicking Vanguard Index Funds, & Vanguard Beats by More”,...
Below is a weekly summary of our research findings for 5/30/23 through 6/2/23. 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 about the performance of the 50-50 Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 in combination with “Sell in May”. To investigate, we...
How does the U.S. stock market typically react to U.S. debt ceiling discussions/actions? To investigate, we look at cumulative S&P 500 Index returns around actions to change the debt ceiling. Using daily S&P 500 Index...
Below is a weekly summary of our research findings for 5/22/23 through 5/26/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
For the last half-century, financial researchers have fallen short of scientific rigor, focusing on associations not supported by theory and not amenable to falsification. Is there is hope for finance to become a scientific field?...
Simple moving averages (SMA) are perhaps the most widely used and simplest market regime indicators. For example, many investors estimate that a stock index, exchange-traded fund (ETF) or individual stock priced above (below) its 200-day...
Are there clearly skilled and unskilled stock-picking influencers on social media platforms such as StockTwits? If so, do investor reactions to such influencers drive out the unskilled ones? In their March 2023 paper entitled “Finfluencers”,...
Below is a weekly summary of our research findings for 5/15/23 through 5/19/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What kind of return patterns are typical of beginnings and ends of equity bull and bear markets? In his April 2023 paper entitled “Investor Overreaction: Evidence From Bull and Bear Markets”, Valeriy Zakamulin examines return...
Is equal weighting of portfolio assets easy or hard to beat within or across asset classes? In their April 2023 paper entitled “Is Naïve Asset Allocation Always Preferable?”, Thomas Conlon, John Cotter, Iason Kynigakis and...