Investing Research Articles

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...

A subscriber forwarded the following chart with summary performances of State Street Energy Select Sector SPDR ETF (XLE), State Street Technology Select Sector SPDR ETF (XLK) and an equal-weighted, annually rebalanced combination of the two...

Will investors in passive index funds overwhelm the ability of active investors to keep prices near fundamental value? If so, what happens? In their March 2026 paper entitled “A Model for Passive That Breaks the...

Below is a weekly summary of our research findings for 4/13/26 through 4/17/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Much prior research indicates that most stock anomalies fail to deliver due to data snooping in their discovery, post-publication market adaptation and, especially, implementation costs. In their March 2026 paper entitled “Reviving Anomalies”, Heiner Beckmeyer,...

Will the relatively high U.S. stock valuation ratios observed over the past few decades revert, or are they persistent artifacts of fundamental shifts in the U.S. economy? In their January 2026 paper entitled “A Macroeconomic...

The possibility that a bond issuer may default drives the credit risk premium, the average difference in return between such a bond and a U.S. Treasury security with matched duration. The possibility that interest rates...

Do forecasts of U.S. deficits and debt portend doom? In their November 2025 paper entitled “Then and Now: A Look Back and Ahead at the Federal Budget”, Alan Auerbach and William Gale estimate future U.S...

How many stocks truly drive U.S. wealth creation? In his March 2026 paper entitled “One Hundred Years in the U.S. Stock Markets”, Hendrik Bessembinder computes investment outcomes for the full lifetime of each publicly listed...

Below is a weekly summary of our research findings for 4/6/26 through 4/10/26. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for March 2026. The actual total (core) inflation rate is much higher than (about the same as) forecasted.

...data from the past 41 years indicate little or no contemporaneous relationship between the equity market and the residential real estate market. There may be a weak, inverse, multi-year relationship between home appreciation and stock...

“Using the Money Anxiety Index for ETF Selection” examines whether the proprietary Money Anxiety Index (MAI) can select long and short portfolios of ETFs that beat the S&P 500 Index (ignoring dividends). Test outputs are...

Have retirement target date funds (TDF) from the principal offerors exhibited asset allocation wisdom over the past 20 years? In his February 2026 paper entitled “The Asset Allocation Wisdom of Wall Street”, Harry Mamaysky classifies...

In response to “Bitcoin Trend Predicts U.S. Stock Market Return?”, a subscriber suggested that bitcoin (BTC) price trend/return may be more strongly predictive of NASDAQ 100 Index (NDX) returns than of S&P 500 Index returns....

Does Michael Farr, CEO and founder of Farr, Miller & Washington, offer good stock picks via his annual CNBC articles identifying the best 10 stocks for the next year? To investigate, we take his picks...

Below is a weekly summary of our research findings for 3/30/26 through 4/2/26. 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 different ways of estimating the equity risk premium, and which one is best? In his March 2026 paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2026 Edition”, Aswath...