Investing Research Articles

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 S&P 500 BuyWrite Index (BXM). Global X S&P 500 Covered Call (XYLD) – seeks to track BXM. Global X NASDAQ 100… Keep Reading

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 strategy on Bitcoin. They then extend the strategy to all cryptocurrencies listed for at least one year since 2015 with… Keep Reading

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 monthly (SACEVS-SACEMS 50-50), and a strategy that is each week in stocks or bonds according to whether the return on… Keep Reading

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 and Shocks”, Benjamin Knox and Annette Vissing-Jorgensen survey studies of Federal Reserve effects on the stock market, focusing on three… Keep Reading

Below is a weekly summary of our research findings for 5/19/25 through 5/23/25. 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 commented and asked: “I have been wondering whether Morningstar’s estimate of ‘fair value’ for stocks has any relationship to actual subsequent returns. For instance, when the fair value is more than double the market price, is the return over the next year substantially greater than for stocks where the fair value is less… Keep Reading

Are exchange-traded funds (ETF) focused on Initial Public Offerings of stocks (IPO) attractive? To investigate, we consider three of the largest IPO ETFs and one recent Special Purpose Acquisition Company (SPAC) ETF, one of which is no longer available, in order of longest to shortest available histories: First Trust US Equity Opportunities ETF (FPX) –… Keep Reading

Are more factors better for predicting stock market returns? In their April 2025 paper entitled “The Limited Virtue of Complexity in a Noisy World”, Álvaro Cartea, Qi Jin and Yuantao Shi analyze the interactions between stock factor noisiness (errors/uncertainties) and factor model complexity in portfolio optimization. Specifically, they study how factor noise affects the predictive… Keep Reading

Does the Memorial Day holiday signal any unusual U.S. stock market return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. celebrated Memorial Day on May 30. Effective in 1971, Memorial Day became the last Monday in May…. Keep Reading

Should a long-only equity investor seeking exposure to the size factor (stocks with small market capitalizations tend to outperform) and the value factor (stocks that are cheap with respect to fundamentals tend to outperform) choose two distinct funds or a combined small-value fund? In his March 2025 paper entitled “Small, Value, or Small/Value?”, Javier Estrada… Keep Reading