Does financial news sentiment as interpreted by large language models (LLM) such as ChatGPT and BARD predict short-term stock market returns? In their September 2023 paper entitled “Large Language Models and Financial Market Sentiment”, Shaun...
A subscriber requested a test of holding Invesco QQQ Trust (QQQ) during November through April and idle cash during May through October. Informed by the Trading Calendar, we consider four strategies: QQQ – buy and...
Below is a weekly summary of our research findings for 10/30/23 through 11/3/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are there ways to revive the fading performance of the short-term reversal (STR) strategy, which is long stocks with the lowest returns last month and short stocks with the highest? In their September 2023 paper...
Is public saving rate a leading indicator of the stock market? Arguably, an increase (decrease) in saving rate means a shift away from (toward) consumption, corporate earnings and associated stock value. The Bureau of Economic...
A reader asked: “Is disposable income a leading indicator of the stock market?” Arguably, an increase in disposable income could spur consumption, corporate earnings and associated stock values. The Bureau of Economic Analysis (BEA) releases...
Does a simple relative momentum strategy applied to tradable U.S. Treasury term structure proxies produce attractive results by picking the best duration for exploiting the current interest rate trend? To investigate, we run short-term and...
Below is a weekly summary of our research findings for 10/23/23 through 10/27/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
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...
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...
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...
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...
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,...
Below is a weekly summary of our research findings for 10/9/23 through 10/13/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Prior research indicates that stocks of firms with high direct and indirect carbon dioxide emissions tend to beat the market (offer a carbon premium). Does high-emissions stock outperformance derive from surprisingly high earnings? In their...
Does quantified uncertainty in government economic policy reliably predict stock market returns? To investigate, we consider the U.S. Economic Policy Uncertainty (EPU) Index, created by Scott Baker, Nicholas Bloom and Steven Davis and constructed from three...
Below is a weekly summary of our research findings for 10/2/23 through 10/6/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Will emerging artificial intelligence (AI) tools such as the generative large language model ChatGPT have important roles in the economy, including asset management? In his September 2023 paper entitled “Generative AI: Overview, Economic Impact, and...
Can network analysis discover useful momentum spillover across asset classes? In their August 2023 paper entitled “Network Momentum across Asset Classes”, Xingyue (Stacy) Pu, Stephen Roberts, Xiaowen Dong and Stefan Zohren employ a graph machine...
Each month, the Institute for Supply Management (ISM) each month generates the Services Purchasing Managers Index (PMI), aggregating monthly inputs from purchasing and supply executives in services firms across the U.S. regarding business activity, new...
According to the Institute for Supply Management (ISM) each month generates the Manufacturing Purchasing Managers’ Index (PMI), aggregating monthly inputs from purchasing and supply executives in manufacturing firms across the U.S. regarding new orders, production, employment,...
Below is a weekly summary of our research findings for 9/25/23 through 9/29/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Below is a weekly summary of our research findings for 9/18/23 through 9/22/23. 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 asked whether aggregate U.S. state tax revenues, as an indicator of economic activity, lead the U.S. stock market. To investigate, we compare behaviors of total quarterly state tax collections and SPDR S&P 500...
Will equity funds “managed” by artificial intelligence (AI) outperform human investors? To investigate, we consider the performance of AI Powered Equity ETF (AIEQ). Per the offeror, the EquBot model supporting AIEQ: “…leverages IBM’s Watson AI...