Below is a weekly summary of our research findings for 5/11/26 through 5/15/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the conventional wisdom to “Sell in May” (and “Buy in November”, hence also the term “Halloween Effect”) work over the long run, perhaps due to biological/psychological effects of seasons (Seasonal Affective Disorder)? To check,...
Are prediction markets better at forecasting firm earnings than professional analysts? In their April 2026 paper entitled “Beating the Earnings Game: Why Do Prediction Markets Outperform Professional Analysts?”, Daniel Rabetti, Jiaqi Shao and Che Zhang...
Does the empirical accuracy of prediction markets derive from crowd wisdom or an informed few? In their April 2026 paper entitled “Prediction Market Accuracy: Crowd Wisdom or Informed Minority?”, Roberto Cram, Yunhan Guo, Theis Jensen...
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for April 2026. The actual total (core) inflation rate is higher than (a little higher than) forecasted.
Can artificial intelligence (AI) agents based on a large language model (LLM) carry most of the load in strategic asset allocation? In their April 2026 paper entitled “The Self-Driving Portfolio: Agentic Architecture for Institutional Asset...
Are broad measures of public sociopolitical sentiment relevant to investors? Do they predict stock returns as indicators of exuberance and fear? To investigate, we relate S&P 500 Index return and 12-month trailing S&P 500 price-operating...
Below is a weekly summary of our research findings for 5/4/26 through 5/8/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
When assigned to perform the same empirical financial research, do the findings of human researchers and large language models (LLM) as a kind of artificial intelligence (AI) differ? If so, why? In their March 2026...
Should investors seeking to exploit both value and momentum factors in U.S. stocks prefer two separate portfolios or one that integrates stock selection? In his February 2026 paper entitled “Don’t Mix What Should Be Separated:...
What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their April 2026 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 97 countries in 2026”, Pablo...
Is growing investor/trader use of large language models (LLM) extinguishing known stock return anomalies? In their March 2026 paper entitled “Do LLMs Make Markets More Efficient?”, Runjing Lu, Yongxin Xu and Luka Vulicevic examine how...
Do exchange-traded funds (ETF) designed to exploit sentiment indicators beat the market? To investigate, we consider three such ETFs, all currently available, as follows: VanEck Social Sentiment ETF (BUZZ) – invests in common stocks of...
Below is a weekly summary of our research findings for 4/27/26 through 5/1/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are large language models (LLM) robust financial advisors for individuals? In their March 2026 paper entitled “AI Financial Advice: Supply, Demand, and Life Cycle Implications”, Taha Choukhmane, Tim de Silva, Weidong Lin and Matthew Akuzawa...
We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined...
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for May 2026. SACEMS rankings probably will not change by the close. SACEVS...
What are the costs of mitigating tail risk via exchange-traded funds (ETF) designed to manage it? To investigate, we consider seven such ETFs, three dead and four live, as follows: VelocityShares Tail Risk Hedged Large...
Recent studies, based on the distribution of reported in-sample test statistics, find that publication bias in finance is modest and that most published factors are true discoveries. What about unreported testing performed during the factor...
How strongly do profits concentrate among winners in zero-sum prediction market trading? In their March 2026 paper entitled “Who Wins and Who Loses In Prediction Markets? Evidence from Polymarket”, Pat Akey, Vincent Grégoire, Nicolas Harvie...
Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth) for each of the following three matched pairs of value-growth ETFs: iShares...
Below is a weekly summary of our research findings for 4/20/26 through 4/24/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can autonomous artificial intelligence (Agentic AI), which interprets market dynamics with continuous improvement and specifies resulting trades with minimal human intervention, run an attractive portfolio? In their March 2026 paper entitled “Beyond Prompting: An Autonomous...
In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P...
Is there a way to enhance time series momentum by considering both trend regime and expected risk-adjusted performance during each state? In his March 2026 paper entitled “Rethinking Trend Following: Optimal Regime-Dependent Allocation”, Valeriy Zakamulin...