Investing Research Articles

Can investors exploit the uneven playing field of leveraged and inverse exchange-traded fund (LETF) share creation and redemption? In his August 2025 paper entitled “Leveraged ETF Issuance During Market Stress and the Mechanics of Profit: Who’s the Dog, Who’s the Tail?”, Rob Bezdjian focuses on daily share creation and redemption for ProShares UltraPro QQQ (TQQQ),… Keep Reading

What variables drive differences in price-to-earnings ratios (P/E) across U.S. stocks? In the September 2025 revision of their paper entitled “The Cross-section of Subjective Expectations: Understanding Prices and Anomalies”, Ricardo Delao, Xiao Han and Sean Myers analyze cross-sectional P/E differences of U.S. common stocks by comparing: Professional forecasts of earnings growth, return and P/E over… Keep Reading

Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight multifactor ETFs, all currently available: iShares Edge MSCI Multifactor USA (LRGF) – holds large and mid-cap U.S. stocks with focus on quality, value, size and momentum, while maintaining a level of risk similar to that of the market. The… Keep Reading

Below is a weekly summary of our research findings for 9/8/25 through 9/12/25. 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.

A subscriber asked about the lead-lag relationship between S&P 500 earnings and S&P 500 Index returns. To investigate, we relate actual aggregate S&P 500 operating and as-reported earnings to S&P 500 Index returns at both quarterly and annual frequencies. Earnings forecasts are available well in advance of returns. Actual earnings releases for a quarter occur… Keep Reading

Are preferred stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven of the largest preferred stock ETFs, all currently available, in order of longest to shortest available histories: Invesco Financial Preferred (PGF) – generally invests at least 90% of assets in preferred securities of financial institutions. iShares Preferred and Income… Keep Reading

A subscriber asked about current evidence that high-dividend stocks outperform the market. To investigate, we compare performances of 10  exchange-traded funds (ETFs) holding high-dividend stocks to that of SPDR S&P 500 (SPY) as a proxy for the U.S. stock market. The  high-dividend stock ETFs, from oldest to newest, are: iShares Select Dividend ETF (DVY) Invesco Dividend… Keep Reading

What is the outlook for the price of bitcoin over the next decade? In their August 2025 paper entitled “Bitcoin Supply, Demand, and Price Dynamics”, Murray Rudd and Dennis Porter model the price evolution of bitcoin based on its fixed potential supply of 21 million coins and plausible demand growth and execution behavior. Specifically, they… Keep Reading

Do AIs that incorporate audio and video (multimodal) aspects of firm/stock analysis (e.g. from YouTube), including tone, delivery style and facial expressions, distill better buy and sell recommendations from financial influencers (finfluencers) than text-only large language models (LLM)? In their May 2025 paper entitled “VideoConviction: A Multimodal Benchmark for Human Conviction and Stock Market Recommendations”,… Keep Reading

Below is a weekly summary of our research findings for 9/2/25 through 9/5/25. 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.

Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares – GLD) return, change in the all-items consumer price index (CPI) or change in the effective federal funds rate (EFFR) for a monthly measurement interval? To investigate, we compute correlations between monthly BTC return and each of… Keep Reading

Is the performance of listed private equity funds (LPE) on the London Stock Exchange attractive? In their August 2025 paper entitled “What the London Stock Exchange can Teach Us About Private Equity”, Richard Ennis and Daniel Rasmussen examine LPE volatility, valuation and performance and compare findings with those based on private equity net asset values… Keep Reading

How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR  and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies: Equities: SPDR S&P 500 (SPY) iShares Russell… Keep Reading

Do exchange-traded funds (ETF) focused on cybersecurity stocks offer attractive performance? To investigate, we compare performance statistics of five cybersecurity ETFs, all currently available, to those of Invesco QQQ Trust (QQQ), as follows: Amplify Cybersecurity ETF (HACK) First Trust NASDAQ Cybersecurity ETF (CIBR) iShares Cybersecurity and Tech ETF (IHAK) Global X Cybersecurity ETF (BUG) WisdomTree… Keep Reading

Below is a weekly summary of our research findings for 8/25/25 through 8/29/25. 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.

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40% combination of SPDR S&P 500 ETF Trust (SPY) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD): SPDR Bloomberg… Keep Reading

Do returns for U.S. stock options exhibit half-day momentum/reversal effects? In their August 2025 paper entitled “In Search of Seasonality in Intraday and Overnight Option Returns”, Turan Bali, Amit Goyal, Mathis Moerke and Florian Weigert examine momentum and reversal patterns in half-day (intraday and overnight) option returns. They specify intraday return as that from 10:00AM… Keep Reading

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in their power to create good news just before ensuing biennial elections. Are… Keep Reading

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check, we look at average return by calendar month for the following nine ETFs: SPDR S&P 500 ETF Trust (SPY) iShares… Keep Reading

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor Day, we… Keep Reading

Below is a weekly summary of our research findings for 8/18/25 through 8/22/25. 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.

How should global investors assess country sovereign bond and equity risks? In his July 2025 paper entitled “Country Risk: Determinants, Measures and Implications – The 2025 Edition”, Aswath Damodaran examines country risk from multiple perspectives. To estimate a country risk premium, he considers direct and indirect measures of country government bond risk and country equity… Keep Reading

Do a relatively few stocks drive the alphas of many anomalies? In the May 2025 revision of his paper entitled “The Intersection of Expected Returns”, Austin Sobotka explores stock overlap among the portfolios of 164 cross-sectional asset pricing anomalies. Specifically, he each month: Ranks stocks into tenths (deciles) by each anomaly characteristic, lagged by one… Keep Reading

Do alternative “Cash” (deemed risk-free) instruments materially affect performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? Changing the proxy for Cash can affect how often the model selects Cash, as well as the return on Cash when selected. To investigate, we test separately each of the following yield and exchange-traded funds (ETF) as the… Keep Reading

Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS) boost performance via consideration of more trending/diversifying options? To investigate, we add the following 24 ETF/ETN asset class proxies one at a time to the base set and measure effects on the Top 1, equally weighted (EW)… Keep Reading