How have different asset classes recently interacted with the CBOE Volatility Index (VIX)? To investigate, we look at lead-lag relationships between VIX and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:...
Does degree of co-movement among commodity exchange-traded funds (ETF) predict whether momentum or reversal is imminent? In their September 2024 paper entitled “How to Improve Commodity Momentum Using Intra-Market Correlation”, Radovan Vojtko and Margaréta Pauchlyová...
When the U.S. government runs substantial deficits, some experts proclaim the dollar’s inevitable inflationary debasement and bad times for stocks. Other experts say that deficits are no cause for alarm, because government spending stimulates the...
Below is a weekly summary of our research findings for 11/4/24 through 11/8/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How can the low-volatility effect, whereby stocks with low past volatility tend to outperform the market on a risk-adjusted basis (but lag during long bull markets), help achieve common investment goals? In their October 2024...
How can schemers use statistics to fool investors? In the October 2024 revision of their paper entitled “The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People”, Carlo Zarattini and Andrew...
The market view of Bitcoin has increasingly shifted from a potentially useful currency to an investment asset with no yield but potentially high capital gain. What are the implications of its success in the latter...
Can investors reliably exploit the somewhat opaquely presented strategy summarized in “Using Wilder Volatility Stops to Time the U.S. Stock Market”, which employs Welles Wilder’s Average True Range (ATR) volatility metric to generate buy and...
Below is a weekly summary of our research findings for 10/28/24 through 11/1/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do some mutual fund managers game Morningstar ratings/benchmarks by shifting the styles of their funds? In their September 2024 paper entitled “Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings”, Lauren Cohen, David Kim and...
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...
Does investor fear level predict U.S. Treasury instrument returns? In their September 2024 paper entitled “Fear in the ‘Fearless’ Treasury Market”, Tianyang Wang, Yuanzhi Wang, Qunzi Zhang and Guofu Zhou examine how investor fear relates...
Can Google’s large language model (LLM), Gemini, beat simple benchmarks by picking a small portfolio of stocks? In their September 2024 paper entitled “Can AI Beat a Naive Portfolio? An Experiment with Anonymized Data”, Marcelo...
Below is a weekly summary of our research findings for 10/21/24 through 10/25/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
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 –...
Should retail investors accept the risk of non-execution and use limit orders to get better prices? In the August 2024 version of their paper entitled “Retail Limit Orders”, Amber Anand, Mehrdad Samadi, Jonathan Sokobin and...
Can relatively modest large language models (LLM), pretrained with diverse financial information, effectively rank stocks? In their September 2024 paper entitled “Re(Visiting) Large Language Models in Finance”, Eghbal Rahimikia and Felix Drinkall introduce base and...
Below is a weekly summary of our research findings for 10/14/24 through 10/18/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
The Simple Asset Class ETF Value Strategy (SACEVS) includes an allocation to iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) when the credit premium, measured monthly based on the difference between the Moody’s Seasoned Baa...
Can investors reasonably anticipate the signals (stock rankings) for stock anomalies that are based on firm financial information. In their August 2024 paper entitled “Predicting Anomalies”, Boone Bowles, Adam Reed, Matthew Ringgenberg and Jake Thornock...
Can market efficiency be falling despite ubiquitous data, computing and networking? In his August 2024 paper entitled “The Less-Efficient Market Hypothesis”, Clifford Asness argues that markets have become less efficient in the relative pricing of...
Would someone who knows tomorrow’s financial headlines today be a good day trader? In their September 2024 paper entitled “When a Crystal Ball Isn’t Enough to Make You Rich”, Victor Haghani and James White report...
Below is a weekly summary of our research findings for 10/7/24 through 10/11/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is momentum a rational firm earnings growth proxy rather than a manifestation of investor underreaction/overreaction to news? In their August 2024 paper entitled “A Unified Framework for Value and Momentum”, Jacob Boudoukh, Tobias Moskowitz, Matthew...
What variables best explain increases and decreases in Cyclically Adjusted Price-to-Earnings ratio (CAPE or P/E10)? In their August 2024 paper entitled “Analyzing Changing ‘Investor Exuberance’: The Determinants of S&P Composite Index Total Return CAPE Changes”,...