What are the different ways of estimating the equity risk premium, and which one is best? In his March 2025 paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2025 Edition”, Aswath...
Can large language models (LLM) help improve portfolio performance metrics, portfolio optimization and strategy feature discovery? In his three January-February 2025 papers entitled “AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics”, “AlphaPortfolio: Discovery of Portfolio Optimization...
Do opening gaps reliably indicate either reversal or continuation for the balance of the trading day? To investigate, we relate opening gaps to subsequent open-to-close returns for SPDR S&P 500 ETF Trust (SPY). Using daily...
Are plans to use nuclear power to provide electricity for proliferating data centers driving attractive performance for uranium exchange-traded-funds (ETF)? To investigate, we consider four such ETFs, all currently available: VanEck Uranium and Nuclear ETF...
Below is a weekly summary of our research findings for 3/31/25 through 4/4/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Alternative trading platforms (such as Blue Ocean and Interactive Brokers) offer trading in many U.S. stocks and exchange traded products between 8PM and 4AM (nocturnal), letting U.S. retail and Asian investors trade continuously five days...
A subscriber asked about the historical experience (distribution of outcomes) of an investor with a 5-year horizon (holding period). To investigate we consider returns for 5-year intervals rolled annually at the end of the year...
A subscriber asked about an assertion that bitcoin (BTC) price trend/return predicts return of the S&P 500 Index (SP500). To investigate, we relate BTC returns to SP500 returns at daily, weekly and monthly frequencies. We...
Does the level of, or change in, the annual U.S. federal surplus/deficit systematically influence the U.S. stock market, perhaps by affecting consumption and thereby corporate earnings or by modifying inflation and thereby discount rates? To...
Are machine learning predictions for both stock returns and return volatilities attractively exploitable? In their March 2025 paper entitled “Deep Learning of Conditional Volatility and Negative Risk-Return Relation”, Qi Wu, Xing Yan and Wenxuan Ma...
Below is a weekly summary of our research findings for 3/24/25 through 3/28/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The quarterly CFO Survey asks chief financial officers, owner-operators, vice presidents and directors of finance, accountants, controllers, treasurers and others with financial decision-making roles in small to very large companies across all major industries to...
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...
In response to “Shorting VXX with Crash Protection”, which investigates shorting iPath S&P 500 VIX Short-Term Futures (VXX) to capture the equity volatility risk premium, a subscriber asked about instead using a long position in...
Does the M2 measure of money supply reliably drive bitcoin and/or gold prices at a monthly horizon? To investigate we relate monthly change in M2 to future monthly bitcoin and SPDR Gold Shares (GLD) returns....
Below is a weekly summary of our research findings for 3/17/25 through 3/21/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A buffer exchange-traded fund (ETF) is designed to limit losses while capping gains over a specific period, usually one year, generally by combining a position in put and call options on a stock index with...
In the spirit of “Complete Finance Research by LLMs?” and “Mimicking Economic Expertise with LLMs”, we have begun succinctly polling some publicly available large language models (LLM) on various aspects of economics/finance and posting results...
Do leveraged exchange-traded funds (LETF) with daily leverage resets reliably fall behind portfolios with the same initial leverage but no resets? In his February 2025 paper entitled “Multi-day Return Properties of Leveraged Index ETFs”, Baolian...
Does economic history rhyme in that similar economic/financial conditions precede similar equity factor performance? In their March 2025 paper entitled “Regimes”, Amara Mulliner, Campbell Harvey, Chao Xia, Ed Fang and Otto Van Hemert present a...
Can investors use leveraged exchange-traded funds (ETF) to construct attractive versions of simple 60%/40% (60/40) and 40%/60% (40/60) stocks-bonds portfolios? In their March 2020 presentation package entitled “Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios...
Every review and analysis, including updates of items in “Compendium of Live ETF Factor/Niche Premium Capture Tests”, brings to mind… Wherefrom data snooping bias? Data that involve considerable randomness (luck to be discovered). Brute force...
Below is a weekly summary of our research findings for 3/10/25 through 3/14/25. 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 suggested adding U.S. large-capitalization growth and value funds to the asset class proxy universe in the Simple Asset Class ETF Momentum Strategy (SACEMS) to capture associated growth and value streakiness. To investigate, we...
Are all stocks except U.S. growth cheap? In his brief February 2025 paper entitled “Decomposing Equity Returns: Earnings Growth vs. Multiple Expansion”, David Blitz decomposes equity returns of different global equity markets and styles (size,...