Investing Research Articles

Conventional wisdom holds that a steep yield curve (wide U.S. Treasuries term spread) is good for stocks, while a flat/inverted curve is bad. Is this wisdom correct and exploitable? To investigate, we consider in-sample tests of the relationships between several yield curve metrics and future U.S. stock market returns and two out-of-sample signal-based tests. Using… Keep Reading

A subscriber requested evaluation of Investment Advisory Service stock picking ability based on a sample newsletter obtained in mid-April 2023. The offerors state that they follow “a sound, buy-and-hold approach to identifying well-managed, high-quality companies” that “highlights emerging and oft-overlooked stocks with excellent growth potential and reasonable valuations.” The sample newsletter, dated January 2022, includes… Keep Reading

Below is a weekly summary of our research findings for 4/24/23 through 4/28/23. 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.

A subscriber asked about the performance of a variation of the monthly reformed 50-50  Simple Asset Class ETF Value Strategy (SACEVS) Best Value-Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 combination that substitutes 100% SACEMS EW Top 2 whenever both: SPDR S&P 500 ETF Trust (SPY) is the selection for SACEVS Best Value at the… Keep Reading

Should individuals who trade zero-days-to-expiration (0DTE) S&P 500 Index options expect to make money? In their March 2023 paper entitled “Retail Traders Love 0DTE Options… But Should They?”, Heiner Beckmeyer, Nicole Branger and Leander Gayda examine performance of retail 0DTE S&P 500 Index option trades. They focus on effects of the introduction of daily expirations… Keep Reading

Can advanced natural language processing models such as ChatGPT extract sentiment from firm news headlines that usefully predicts associated next-day stock returns? In their April 2023 paper entitled “Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models”, Alejandro Lopez-Lira and Yuehua Tang test the ability of ChatGPT to predict next-day returns of… Keep Reading

A subscriber asked whether the Simple Asset Class ETF Momentum Strategy (SACEMS) exhibits monthly calendar effects. In investigating, we also look at the Simple Asset Class ETF Value Strategy (SACEVS)? We consider the Best Value (most undervalued asset) and Weighted (assets weighted by degree of undervaluation) versions of SACEVS. We consider the Top 1, equal-weighted (EW)… Keep Reading

Below is a weekly summary of our research findings for 4/17/23 through 4/21/23. 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.

Does an allocation to gold truly protect a portfolio from downside risk? In their April 2023 paper entitled “The Golden Rule of Investing”, Pim van Vliet and Harald Lohre examine downside risks for portfolios of stocks (value-weighted U.S. stock market) and bonds (10-year U.S. Treasury notes) with and without gold (bullion) based on real returns… Keep Reading

Is timing of U.S. equity factors broadly and reliably attractive? In their March 2023 paper entitled “Timing the Factor Zoo”, Andreas Neuhierl, Otto Randl, Christoph Reschenhofer and Josef Zechner analyze effectiveness of 39 timing signals applied to 318 known factors. Factors include such categories as intangibles, investment, momentum, profitability, trading frictions and value/growth. Timing signals… Keep Reading