Investing Research Articles

The performance of conventional factor portfolios, long and short extreme quantiles of assets sorted on the factor metric, faces considerable skepticism (see “Compendium of Live ETF Factor/Niche Premium Capture Tests”). Is their some more surgical way to capture theoretical factor premiums? In their March 2025 paper entitled “Investment Base Pairs”, Christian Goulding and Campbell Harvey… Keep Reading

Why do factor timing strategies that shine in research papers disappoint in real life? In his May 2025 paper entitled “Caveats of Simple Factor Timing Strategies”, David Blitz discusses the following  simple factor timing strategies with material and statistically significant outperformance per published studies: Short-term factor momentum – each month allocates 40%, 30%, 20%, 10%… Keep Reading

How do hedge fund managers think about fundamental analysis versus technical analysis in managing their stock portfolios? In his July 2025 paper entitled “Portfolio Construction: Blending Fundamental and Technical Analysis”, Gregory Blotnick describes the interplay between fundamental and technical analyses in long/short equity portfolio construction from the perspective of a hedge fund with a high… Keep Reading

Is the part of the return/alpha of a equity factor that is not associated with simple changes in factor valuation (ratio of long side average price-to-book value ratio to short side average price-to-book value ratio) especially predictive of future factor returns? In their September 2025 paper entitled “Revaluation Alpha”, Robert Arnott, Sina Ehsani, Campbell Harvey… Keep Reading

…while changes in bond yields have short-term effects on stock prices, valuation ratios better forecast long-term stock market behavior.

…political forecasting seems a lot like financial markets forecasting, with slim evidence that the forecasters can beat simple algorithms.

…firms sell (buy back) company financial assets when their stocks are overvalued (undervalued), and analysts misinterpret or underreact to these actions. Investors should focus on the actions of corporate executives and not the forecasts of analysts.

…it seems that hedge funds overall are not exhausting the supply of alpha offered by other players in worldwide equity markets.

…a market inefficiency with respect to volatility expectations for individual stocks may provide a means to beat the market by using options to trade volatility.

…over the last 80 years, a few price-normalized variables (price-dividend, price-earnings, price-output and price-consumption ratios) and the approximate consumption-aggregate wealth ratio have been the best stock market indicators.