Tag Archives: Leo Chen Ph.D.

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Cumberland Advisors Market Commentary – Equity Risk Premia

Author: Leo Chen, Ph.D., Post Date: February 17, 2021
Market Commentary - Cumberland Advisors - Equity Risk Premia (by Leo Chen)

The US equity market continues to post new all-time highs week after week. While the equity market remains seemingly unstoppable regardless of the lack of fundamental support, many investors wonder how long the Fed-fueled market can go before we have a correction. It would be a fool’s errand to call a correction, but we want […]

Cumberland Advisors Market Commentary – GameStop & SKEW!

Author: Leo Chen Ph.D., David R. Kotok, & Matthew McAleer, Post Date: February 1, 2021
Market Commentary - Cumberland Advisors - GameStop & SKEW!

There were two unusual events last week. One made massive headlines; the other flew under the radar. Unless an investor was on a Martian vacation, it was impossible to avoid the media battering that featured keywords like GameStop, Reddit, Robinhood, Citron, and WallStreetBets. And there was a cash requirement from brokers by DTCC, the stock […]

Cumberland Advisors Market Commentary – Singles’ Day and Alibaba

Author: Leo Chen, Ph.D., Post Date: November 10, 2020
Market Commentary - Cumberland Advisors - Singles’ Day and Alibaba (Leo Chen)

November 11 is Singles’ Day in China. It is an unofficial shopping holiday that was started by Alibaba in 2009. It is called Singles’ Day because the repeated number “1” in “11.11” refers to single people in Chinese. Although Singles’ Day is often compared to Black Friday in the US, it is actually more similar […]

Cumberland Advisors Market Commentary – Insider Trading – the Case of Consumer Discretionary

Author: Leo Chen, Ph.D., Post Date: October 15, 2020
Leo Chen, Ph.D.

We have recently published two commentaries regarding insider trading. You may find them here: https://www.cumber.com/cumberland-advisors-market-commentary-insider-trading-the-case-of-energy/ & https://www.cumber.com/cumberland-advisors-market-commentary-insider-trading-what-does-it-tell-us/. As the third quarter has just come to an end, we want to pick the third-quarter winner, Consumer Discretionary, as our latest insider trading study. Please see Chart 1 below for the sector’s third-quarter sector performance. Consumer Discretionary […]

Cumberland Advisors Market Commentary – Insider Trading – the Case of Energy

Author: Leo Chen, Ph.D., Post Date: September 14, 2020
Cumberland Advisors Market Commentary - Insider Trading – the Case of Energy

Our last commentary on insider trading studied post-insider-purchase-spike (PIPS) market performance (https://www.cumber.com/cumberland-advisors-market-commentary-insider-trading-what-does-it-tell-us/). We found that the 6-month market return is 13.54% on average after the insider buy/sell ratio rises above 1. Today we will demonstrate the PIPS effect using the Energy sector as an example. Undoubtedly, corporate insiders possess an informational advantage over outsiders. The […]

Cumberland Advisors Market Commentary – Insider Trading—What Does It Tell Us?*

Author: Leo Chen, Ph.D., Post Date: August 26, 2020
Market Commentary - Cumberland Advisors - Insider Trading (Leo Chen)

Insider trading often refers to acting on material nonpublic information. However, when company employees buy and sell their own stocks, it is also called insider trading, which is permitted by the SEC. We will only discuss the second type of insider trading today. As many investors have wondered, is it a fair game for outsiders […]

Cumberland Advisors Market Commentary – Liquidity Impact on the Stock Market

Author: Leo Chen, Ph.D., Post Date: June 5, 2020
Market Commentary - Cumberland Advisors - Liquidity Impact on the Stock Market

All three major indices have continued their rallies in June: The S&P 500 is up 2.23%, the Dow Jones Industrial Average is up 3.54%, and the Nasdaq composite is up 1.33%. The S&P 500 has marked a 42% return since the March 23rd low for the large-cap index, while the Nasdaq Composite is only 2.26% […]

Cumberland Advisors Market Commentary – Black Swan and SKEW

Author: Leo Chen, Ph.D., Post Date: May 5, 2020
Market Commentary - Cumberland Advisors - Black Swan and SKEW (Leo Chen)

The term black swan refers to rare events that are unpredictable in nature. These events are mathematically difficult to compute and statistically insignificant. Black Monday on October 19, 1987, is a typical example. One may consider the COVID-19 pandemic a black swan as well. CBOE launched the SKEW Index in 1990, and it has been […]

Cumberland Advisors Market Commentary – Understand Leveraged ETFs*

Author: Leo Chen, Ph.D., Post Date: April 6, 2020
Understand Leveraged ETFs 1280x720

The first leveraged ETF was launched in 2006, 13 years after the first ETF was rolled out back in 1993. Although there has been much debate over whether leveraged ETFs add to market volatility and risk, the market size of leveraged ETFs has topped $100 billion since their launch. Evidently, investors’ appetite for leveraged ETFs […]