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...
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....
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...
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...
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...
Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) necessary? Might one or more of them actually be harmful to performance? To investigate, we each...
Below is a weekly summary of our research findings for 8/11/25 through 8/15/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do stocks of homebuilders, whose sales are particularly sensitive to interest rate changes, reliably lead the overall stock market? To check, we look at lead-lag relationships between monthly returns for SPDR S&P Homebuilders ETF (XHB)...
How should retail investors view funds offering private equity opportunities? In his July 2025 paper entitled “Private Markets for the People? Or Just More People for Private Markets?”, Ludovic Phalippou assesses the push to expand...
Speculator level of interest (attention) is plausibly key to bitcoin price behavior. Does the level of online searching for “bitcoin” as a proxy for attention usefully predict bitcoin return? To investigate, we examine interactions between...
Traders can buy and sell bitcoin any day of the week. Do bitcoin returns exhibit anomalies by day of the week, perhaps especially because of weekend trading? To investigate, we calculate (1) average return and...
Do active investment managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors. “NAAIM member firms who are active money managers are asked...
Below is a weekly summary of our research findings for 8/4/25 through 8/8/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can investors profitably trade the effects of leveraged and inverse exchange-traded funds (LETF) share creation and redemption on prices? In his July 2025 paper entitled “Am I the Patsy? LETF Issuance is Signal, Not Noise:...
How do stocks of gold miners perform compared to gold itself? In their July 2025 paper entitled “Gold Shares Underperform Gold Bullion”, Dirk Baur, Lichoo Tay and Allan Trench examine the performance of gold miners...
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...
Can investors rely upon general-purpose Artificial Intelligence (AI) to tackle the complex data science problems of investment analysis? In his July 2025 presentation package entitled “AI Challenges in Mathematical Investing”, Marcos Lopez de Prado addresses...
Does asymmetry in the design/performances of leveraged and inverse exchange-traded products create a reliable edge? In his July 2025 paper entitled “Deception by Design: Leveraged ETFs, Structural Fraud, and Proof of Outperformance”, Rob Bezdjian analyzes...
Below is a weekly summary of our research findings for 7/28/25 through 8/1/25. 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 U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500 returns across calendar months. Using...
What happens if we add bitcoin, as proxied by Grayscale Bitcoin Trust ETF (GBTC), to the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month holds the top one (Top...
Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII)...
“Stock Size and Excess Stock Portfolio Growth” finds that an equal-weighted portfolio of the (each day) 1,000 largest U.S. stocks beats its market capitalization-weighted counterpart by about 2% per year. However, the underlying research does...
In times of economic uncertainty, traditional safe haven assets (bonds and gold) have often failed. Is there a more robust safe haven approach? In his July 2025 paper entitled “Defense First: A Multi-Asset Tactical Model...
Below is a weekly summary of our research findings for 7/21/25 through 7/25/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...