Below is a weekly summary of our research findings for 9/11/23 through 9/15/23. 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 how Apple Inc. (AAPL) stock behaves around unveiling of new iPhone models. To investigate, we identify 19 distinct iPhone series release dates from 6/29/07 through 9/16/22 and calculate average daily cumulative returns...
Are concentrated stock portfolios inherently disadvantaged by lack of diversification? In his June 2023 paper entitled “Underperformance of Concentrated Stock Positions”, Antti Petajisto analyzes rolling future returns for individual U.S. stocks relative to the broad...
Are new machine learning portfolio strategies practically better than old stock factor ways? In their August 2023 paper entitled “Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time”, Nusret Cakici, Christian Fieberg, Daniel...
The conventional approach to measuring equity factor returns is via hedge portfolios that are long (short) the equal-weighted or value-weighted extreme highest (lowest) fifth or tenth of stocks sorted by some firm/stock characteristic. Is there...
Below is a weekly summary of our research findings for 9/5/23 through 9/8/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stock prices confirm that firms with high market power maintain profitability during times of high inflation because they can raise prices, while those with low market power cannot? In their August 2023 paper entitled...
What is the best way to exploit U.S. federal government tax code allowing capital losses to offset current or future capital gains and up to $3,000 of current regular income? In his August 2023 paper...
Below is a weekly summary of our research findings for 8/28/23 through 9/1/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Referring to commonly used Relative Strength Index (RSI) oversold parameter settings, but seeking to avoid exiting rebounds too soon, a subscriber asked about performances of the following four rules as applied to SPDR S&P 500...
Should investors trust artificial intelligence (AI) models such as ChatGPT to pick stocks? In their August 2023 paper entitled “ChatGPT-based Investment Portfolio Selection”, Oleksandr Romanko, Akhilesh Narayan and Roy Kwon explore use of ChatGPT to...
Is dispersion of stock return forecasts from different machine learning models trained on the same history (as a proxy for variation in human beliefs) a useful predictor of stock returns? In their August 2023 paper...
What is the right balance between seeking alpha and avoiding taxes? In their August 2023 paper entitled “Alpha Now, Taxes Later: Tax-Efficient Long-Only Factor Investing”, Yin Chen and Roni Israelov assess trade-offs between rebalancing benefits...
Below is a weekly summary of our research findings for 8/21/23 through 8/25/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Alternative assets (private equity, private market real estate, hedge funds and other assets apart from stocks and bonds) constitute approximately 30% of U.S. public pension fund portfolios and 60% of large U.S. endowment portfolios. Are...
In response to “PPI and the Stock Market”, a subscriber hypothesized that increases and decreases in the ratio of the Consumer Price Index (CPI) to the Producer Price Index (PPI) are bullish and bearish for...
Inflation at the producer level (per the Producer Price Index, PPI) is arguably an advance indicator for inflation downstream at the consumer level (per the Consumer Price Index, CPI). Do investors reliably react to changes...
While prior research indicates that analyst forecasts of future stock returns are substantially biased upward, might the relative rankings of return forecasts be informative? In their June 2023 paper entitled “Analysts Are Good at Ranking...
Below is a weekly summary of our research findings for 8/14/23 through 8/18/23. 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 requested comparison of four variations of an “Ivy 5” asset class allocation strategy, as follows: Ivy 5 EW: Assign equal weight (EW), meaning 20%, to each of the five positions and rebalance annually....
Below is a weekly summary of our research findings for 8/7/23 through 8/11/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What conditions affect the correlation between stock and bond returns, a critical input to asset allocation decisions? In their July 2023 paper entitled “Empirical Evidence on the Stock-Bond Correlation”, Roderick Molenaar, Edouard Senechal, Laurens Swinkels...
Below is a weekly summary of our research findings for 7/31/23 through 8/4/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the state of machine learning in finance? In their July 2023 paper entitled “Financial Machine Learning”, Bryan Kelly and Dacheng Xiu survey studies on the use of machine learning in finance to further...
During 1989 through 2019, the S&P 500 Index generated 5.5% real annual return, compared to just 2.5% annual real growth in U.S. gross domestic product (GDP). How can this disconnect happen? Can it continue? In...