Investing Research Articles

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 Index (CPI): Equities: SPDR S&P 500 (SPY) iShares Russell 2000 Index (IWM) iShares MSCI EAFE Index (EFA) iShares MSCI Emerging… Keep Reading

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 Sector Rotation”, John Rothe tests an RRG-based sector relative momentum strategy with stop-loss risk management based on volatility. Specifically, he:… Keep Reading

Do hopes and fears of U.S. election outcomes, and associated political machinations, alter the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and variabilities (standard deviations of returns) by calendar month for the S&P 500 Index during years with and without quadrennial U.S. presidential elections and biennial congressional elections…. Keep Reading

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 Valeri Nikolaev explore the value of generative AI tool ChatGPT 3.5 in quantifying firm risks based on politics, climate change… Keep Reading

Do funds based on holdings/trades of members of the U.S. Congress and their families beat the market? To investigate, we look at performances of two recently introduced exchange-traded funds (ETF): Unusual Whales Subversive Democratic Trading ETF (NANC) – invests primarily in stocks held by Democratic members of Congress and/or their families per public disclosure filings…. Keep Reading

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

The “Simple Asset Class ETF Value Strategy” (SACEVS) seeks diversification across a small set of asset class exchanged-traded funds (ETF), plus a monthly tactical edge from potential undervaluation of three risk premiums: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield and the 3-month Constant Maturity U.S. Treasury bill (T-bill) yield. Credit – monthly difference between the Moody’s… Keep Reading

Do exchange-traded funds (ETF) that attempt to mimic holdings of hedge fund gurus and/or firm insiders offer attractive performance? To investigate, we consider seven ETFs, four live and three dead, in order of introduction: Invesco Insider Sentiment (NFO) – focuses on stocks attracting interest of insiders such as company executives, fund managers and sell side… Keep Reading

Do funds based on Jim Cramer’s stock/market recommendations generate attractive returns? To investigate, we compare performances for Northern Lights Fund Trust IV – Long Cramer Tracker ETF (LJIM) and Northern Lights Fund Trust IV – Inverse Cramer Tracker ETF (SJIM) to that for SPDR S&P 500 ETF Trust (SPY). The prospectus for LJIM and SJIM… Keep Reading

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, David Saltiel, Rida Laraki and Jamal Atif compare principles, methodologies and risk-adjusted performances of dynamic deep reinforcement learning (DRL) and… Keep Reading