Investing Research Articles

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 Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS), and thereby the Combined Value-Momentum Strategy (SACEVS-SACEMS), based on substituting: ProShares Ultra… Keep Reading

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 global view. “U.S. Equity Premium?” – evidence from simple tests on about 23 years of data suggests that stock market… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 of Professional Forecasters, offer accurate U.S. inflation forecasts that thereby indicate asset valuation changes? Survey report release dates are mid-quarter…. Keep Reading

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 and Adam Akant test a strategy that shifts allocations to equity, bond, currency and commodity futures/forwards series based on trends… Keep Reading

Throughout each month, the National Federation of Independent Businesses surveys members on ten components of business conditions they anticipate six months hence. They issue findings on the second Tuesday of the following month in “Small Business Economic Trends”, including a Small Business Optimism Index (SBOI). Are the expectations of responding small business owners a “grass roots” predictor… Keep Reading

Does iShares 20+ Year Treasury Bond ETF (TLT) exhibit a predictable monthly pattern due to beginning-of-month dividends and mid-month U.S. government consumer and producer inflation releases? To investigate, we calculate average cumulative return for TLT across the month (from trading day 1 through trading day 23). We also investigate exploitability of findings. Using daily raw… Keep Reading

Below is a weekly summary of our research findings for 2/26/24 through 3/1/24. 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.

Is ChatGPT useful for predicting stock market returns based on financial news headlines? In the December 2023 version of their paper entitled “ChatGPT, Stock Market Predictability and Links to the Macroeconomy”, Jian Chen, Guohao Tang, Guofu Zhou and Wu Zhu investigate whether ChatGPT 3.5 can predict U.S. stock market (S&P 500 Index) returns based on… Keep Reading

Can enhanced machine learning models accurately time popular equity factors? In their January 2024 paper entitled “Multi-Factor Timing with Deep Learning”, Paul Cotturo, Fred Liu and Robert Proner explore equity factor timing via a multi-task neural network model (MT) to capture the commonalities across factors and a dynamic multi-task neural network model (DMT) to extract… Keep Reading