The Greenium [PREMIUM]
CXO Advisory
by Steve LeCompte
21h ago
How much do investors gain or sacrifice by focusing their portfolios on “sustainable” (green) stocks? In their March 2024 paper entitled “In Search of the True Greenium”, Marc Eskildsen, Markus Ibert, Theis Jensen and Lasse Pedersen broadly examine the green-minus-brown premium (the greenium). Specifically, they: Replicate and extend past studies to estimate the U.S.... Keep... Keep Reading The post The Greenium appeared first on CXO Advisory ..read more
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Weekly Summary of Research Findings: 4/15/24 – 4/19/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
4d ago
Below is a weekly summary of our research findings for 4/15/24 through 4/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. Alternative... Keep... Keep Reading The post Weekly Summary of Research Findings: 4/15/24 – 4/19/24 appeared first on CXO Advisory ..read more
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Informativeness of Seeking Alpha Articles for Stock Returns [PREMIUM]
CXO Advisory
by Steve LeCompte
4d ago
Are sentiments conveyed in Seeking Alpha articles useful for stock picking? In their January 2023 paper entitled “Seeking Alpha: More Sophisticated Than Meets the Eye”, Duo Selina Pei, Abhinav Anand and Xing Huan apply two-pass natural language processing to test the informativeness of articles from Seeking Alpha incremental to publicly available earnings data. Specifically, they...... Keep Reading The post Informativeness of Seeking Alpha Articles for Stock Returns appeared first on CXO Advisory ..read more
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Bitcoin Economics [PREMIUM]
CXO Advisory
by Steve LeCompte
5d ago
What are the implications of mainstream economics for bitcoin? In his March 2024 paper entitled “Bitcoin: What Does Mainstream Economics Have to Say?”, Joshua Hendrickson tackles the following questions: Why does money exist and what role does it play in society? How does bitcoin fit our understanding of this role? What is bitcoin worth?... Keep... Keep Reading The post Bitcoin Economics appeared first on CXO Advisory ..read more
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“Sell in May” Update [PREMIUM]
CXO Advisory
by Steve LeCompte
6d ago
How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns from the ends of April and October. Find yields for 6-month U.S. Treasury bills (T-bills) at the end of... Keep... Keep Reading The post “Sell in May” Update appeared first on CXO Advisory ..read more
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Weekly Summary of Research Findings: 4/8/24 – 4/12/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
Below is a weekly summary of our research findings for 4/8/24 through 4/12/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. Day... Keep... Keep Reading The post Weekly Summary of Research Findings: 4/8/24 – 4/12/24 appeared first on CXO Advisory ..read more
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Concentration of Sophistication in Options on Leveraged ETFs? [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
Does pricing of options on leveraged exchange-traded funds (ETF) predict future returns of the underlying 1X ETFs? In the March 2024 version of their paper entitled “Lever Up! An Analysis of Options Trading in Leveraged ETFs”, Collin Gilstrap, Alex Petkevich, Pavel Teterin and Kainan Wang examine options trading in leveraged equity ETFs and its implications...... Keep Reading The post Concentration of Sophistication in Options on Leveraged ETFs? appeared first on CXO Advisory ..read more
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Trend Clarity as Driver of Momentum Returns [PREMIUM]
CXO Advisory
by Steve LeCompte
1w ago
Is momentum better measured by a granular fitted line or beginning-to-end return? In their March 2024 paper entitled “Trended Momentum”, Charlie Cai, Peng Li and Kevin Keasey investigate use of an analytically/visually clear linear stock price trend to enhance conventional momentum. They measure price trend clarity (TC) as R-squared for a regression of daily price...... Keep Reading The post Trend Clarity as Driver of Momentum Returns appeared first on CXO Advisory ..read more
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Yield-based Allocation to Stocks and Bonds [PREMIUM]
CXO Advisory
by Steve LeCompte
2w ago
Can investors beat a traditional 60%-40% stocks-bonds portfolio by adjusting allocations based on the earnings yield of stocks and the current yield of government bonds? In his March 2024 paper entitled “A Yield-based Asset Ratio to Boost Minimum Investment Returns”, Arthur Eschenlauer tests a strategy that allocates to the S&P 500 Index or 10-year U.S....... Keep Reading The post Yield-based Allocation to Stocks and Bonds appeared first on CXO Advisory ..read more
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Weekly Summary of Research Findings: 4/1/24 – 4/5/24 [PREMIUM]
CXO Advisory
by Steve LeCompte
2w ago
Below is a weekly summary of our research findings for 4/1/24 through 4/5/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. Managing... Keep... Keep Reading The post Weekly Summary of Research Findings: 4/1/24 – 4/5/24 appeared first on CXO Advisory ..read more
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