How much should investors who hold a conventionally diversified portfolio (stocks and bonds) be willing to pay for and an additional equity or bond fund that outperforms its benchmark (provides alpha)? In their May 2025...
We occasionally ask publicly available artificial intelligence (AI) platforms for investing ideas and post results on the CXOAdvisory X account. Two recent examples are: “Please concisely provide your unique choice for the best risk-adjusted investment for...
Why do factor timing strategies that shine in research papers disappoint in real life? In his May 2025 paper entitled “Caveats of Simple Factor Timing Strategies”, David Blitz discusses the following simple factor timing strategies...
Below is a weekly summary of our research findings for 6/2/25 through 6/6/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can large language models (LLM) be trusted for economic/financial forecasts during periods within their training data? In their April 2025 paper entitled “The Memorization Problem: Can We Trust LLMs’ Economic Forecasts?”, Alejandro Lopez-Lira, Yuehua Tang...
Should investors expect a negative correlation between stock market and bond market returns? In his February 2025 paper entitled “Rethinking the Stock-Bond Correlation”, Thierry Roncalli examines the stocks-bond return correlation from theoretical and empirical perspectives,...
Should stock return model complexity guide breadth of input data? In their May 2025 paper entitled “Model Complexity and the Performance of Global Versus Regional Models”, Minghui Chen, Matthias Hanauer and Tobias Kalsbach assess the...
How has “A Quantitative Approach to Tactical Asset Allocation”, authored by Meb Faber in 2006 and published in The Journal of Wealth Management in 2007, performed post-publication? In his April 2025 paper entitled “Global Tactical...
Can investors exploit analyst stock price targets by finding the best analysts and overweighting the most extreme target-implied returns? In their March 2025 paper entitled “Alpha in Analysts”, Álvaro Cartea and Qi Jin test the...
Below is a weekly summary of our research findings for 5/27/25 through 5/30/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE...
Is trend-following generally an attractive strategy for crypto-assets? In their April 2025 paper entitled “Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins”, Carlo Zarattini, Alberto Pagani and Andrea Barbon test a long-only trend-following...
A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced...
How and how much does the Federal Reserve Open Market Committee (FOMC) affect the overall stock market? In their April 2025 paper entitled “The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels...
Below is a weekly summary of our research findings for 5/19/25 through 5/23/25. 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 commented and asked: “I have been wondering whether Morningstar’s estimate of ‘fair value’ for stocks has any relationship to actual subsequent returns. For instance, when the fair value is more than double the...
Are exchange-traded funds (ETF) focused on Initial Public Offerings of stocks (IPO) attractive? To investigate, we consider three of the largest IPO ETFs and one recent Special Purpose Acquisition Company (SPAC) ETF, one of which...
Are more factors better for predicting stock market returns? In their April 2025 paper entitled “The Limited Virtue of Complexity in a Noisy World”, Álvaro Cartea, Qi Jin and Yuantao Shi analyze the interactions between...
Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to...
Should a long-only equity investor seeking exposure to the size factor (stocks with small market capitalizations tend to outperform) and the value factor (stocks that are cheap with respect to fundamentals tend to outperform) choose...
Below is a weekly summary of our research findings for 5/12/25 through 5/16/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are the implications of stock trading volume spikes for near-term returns? In their February 2025 paper entitled “Volume Shocks and Overnight Returns”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Mungo Wilson study the effects...
Can investors exploit the definition of conventional 12-2 stock momentum (long the tenth, or decile, of stocks with the highest returns from 12 months ago to two months ago and short the decile with the...
Do individual investors trade carefully and cautiously, or do they make snap judgments? In their March 2025 paper entitled “The Research Behavior of Individual Investors”, Toomas Laarits and Jeffrey Wurgler employ browser histories for an...
What is the state of formal research on cryptocurrency investment strategies? In his April 2025 paper entitled “Quantitative Alpha in Crypto Markets: A Systematic Review of Factor Models, Arbitrage Strategies, and Machine Learning Applications”, William...