DIY Trend-Following Allocations: March 2024
By Ryan Kirlin|March 1st, 2024|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Cut Your Losses and Let Profits Run?
By Larry Swedroe|March 1st, 2024|Research Insights, Larry Swedroe, Other Insights, Behavioral Finance, Momentum Investing Research|
Be careful before acting on what is considered to be conventional wisdom. Make sure it’s supported by empirical evidence. In this case, the evidence makes clear that “cut your losses and let your profits run” should not be conventional wisdom.
Financial Literacy and Financial Resilience: Evidence from Italy
By Elisabetta Basilico, PhD, CFA|February 26th, 2024|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|
The paper aims to contribute to the literature by providing insights into the current state of financial literacy in Italy, its implications for financial well-being and resilience, and the demographic disparities therein.
Lottery Preference and Biotech Stocks: Trust the Financials, Not the Science
By Larry Swedroe|February 23rd, 2024|Predicting Market Returns, Larry Swedroe, Factor Investing, Research Insights, Guest Posts|
Making a bet on biotech/pharma firms that have not yet achieved significant revenue is the equivalent of buying a lottery ticket—with the same poor risk/return relationship.
Self-Declared Benchmarks and Fund Manager Intent: “Cheating” or Competing?
By Elisabetta Basilico, PhD, CFA|February 20th, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|
The paper aims to provide insights into the dynamics of benchmark selection, the effectiveness of Relative Performance Evaluation ( RPE ) incentivization, and the broader implications for fund performance and market competition.
On the Persistence of Growth and Value Stocks
By Larry Swedroe|February 16th, 2024|Asset Growth, Larry Swedroe, Research Insights, Value Investing Research|
While analysts underwrite high growth for companies that have grown quickly and slow growth for companies that have grown slowly in the past, a large body of evidence demonstrates that reversion to the mean of both positive and negative abnormal earnings growth is the norm.
Can ChatGPT Improve Your Stock Picks?
By Tommi Johnsen, PhD|February 12th, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning|
One use of the NLP (natural language processing) features of ChatGPT is to search out patterns in the immense amounts of news, data and other sources of information about specific stocks, and then efficiently convert them into summaries valuable for all types of investors. Can this be accomplished with useful results? The authors use the Q2_2023 period to test performance around earnings announcements. Earnings announcements and earnings surprises are informationally rich as well as challenging events for investors to analyze.
Band of Brothers Attacking Short Sellers: Game Stop for Hedge Funds
By Larry Swedroe|February 9th, 2024|Price Pressure Factor, Liquidity Factor, Research Insights, Larry Swedroe, Other Insights, Behavioral Finance|
Advisors and investors should be aware that fund families that invest systematically have found ways to incorporate the research findings on the limits to arbitrage and the evolving changes we have discussed to improve returns over those of a pure index replication strategy. It seems likely this will become increasingly important, as the markets have become less liquid, increasing the limits to arbitrage and allowing for more overpricing.
Global Factor Performance: February 2024
By Wesley Gray, PhD|February 6th, 2024|Index Updates, Factor Investing, Research Insights, Tool Updates, Tactical Asset Allocation Research|
The following factor performance modules have been updated on our Index website.
Professional Athletes and Money Skills
By Tommi Johnsen, PhD|February 5th, 2024|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|
Until that framework is defined, an assessment of the financial acumen of professional athletes will remain unfocused. This research addresses that gap.