How can investors avoid out-of-sample factor investing strategy failures driven by use of non-causal research methods? In their May 2025 paper entitled “A Protocol for Causal Factor Investing”, Marcos Lopez de Prado and Vincent Zoonekynd...
The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there...
Below is a weekly summary of our research findings for 6/16/25 through 6/20/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances...
Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: Invesco S&P...
How does the performance of the U.S. stock market compare to that of the aggregated stock markets in the rest of the world over the long run? Is there alternating leadership? To investigate, we use...
Do funds based on holdings/trades of members of the U.S. Congress and their families beat the market? To investigate, we look at performances of two recently introduced exchange-traded funds (ETF): Unusual Whales Subversive Democratic Trading...
Below is a weekly summary of our research findings for 6/9/25 through 6/13/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How well do the short-term stock picks of publicly available artificial intelligence (AI) platforms perform? To investigate, we asked Grok, ChatGPT, Perplexity, Gemini and Meta AI the following questions on April 20, 2025: Please succinctly...
Should investors, particularly those employing machine learning, prefer complex or simple prediction models? In the May 2025 revision of his paper entitled “Simplified: A Closer Look at the Virtue of Complexity in Return Prediction”, Daniel...
What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their May 2025 paper entitled “Survey: Market Risk Premium and Risk-Free Rate Used for 54 countries in 2025”, Pablo...
How much should investors who hold a conventionally diversified portfolio (stocks and bonds) be willing to pay for and an additional equity or bond fund that outperforms its benchmark (provides alpha)? In their May 2025...
We occasionally ask publicly available artificial intelligence (AI) platforms for investing ideas and post results on the CXOAdvisory X account. Two recent examples are: “Please concisely provide your unique choice for the best risk-adjusted investment for...
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...
Below is a weekly summary of our research findings for 6/2/25 through 6/6/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can large language models (LLM) be trusted for economic/financial forecasts during periods within their training data? In their April 2025 paper entitled “The Memorization Problem: Can We Trust LLMs’ Economic Forecasts?”, Alejandro Lopez-Lira, Yuehua Tang...
Should investors expect a negative correlation between stock market and bond market returns? In his February 2025 paper entitled “Rethinking the Stock-Bond Correlation”, Thierry Roncalli examines the stocks-bond return correlation from theoretical and empirical perspectives,...
Should stock return model complexity guide breadth of input data? In their May 2025 paper entitled “Model Complexity and the Performance of Global Versus Regional Models”, Minghui Chen, Matthias Hanauer and Tobias Kalsbach assess the...
How has “A Quantitative Approach to Tactical Asset Allocation”, authored by Meb Faber in 2006 and published in The Journal of Wealth Management in 2007, performed post-publication? In his April 2025 paper entitled “Global Tactical...
Can investors exploit analyst stock price targets by finding the best analysts and overweighting the most extreme target-implied returns? In their March 2025 paper entitled “Alpha in Analysts”, Álvaro Cartea and Qi Jin test the...
Below is a weekly summary of our research findings for 5/27/25 through 5/30/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is systematically selling covered call options on equity indexes, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five equity covered call ETFs: Invesco S&P 500 BuyWrite (PBP) – seeks to track the CBOE...
Is trend-following generally an attractive strategy for crypto-assets? In their April 2025 paper entitled “Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins”, Carlo Zarattini, Alberto Pagani and Andrea Barbon test a long-only trend-following...
A subscriber asked for an update of the performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced...
How and how much does the Federal Reserve Open Market Committee (FOMC) affect the overall stock market? In their April 2025 paper entitled “The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels...