Investing Research Articles

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for June 2025.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for July 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

The main criticism of conventional volatility (standard deviation of returns) as a risk metric is that weights deviations above and below the mean equally. But, is volatility still adequate for most investors as an indicator of downside risk? In his June 2025 paper entitled “Volatility: A Dead Ringer for Downside Risk”, Javier Estrada compares Spearman… Keep Reading

Below is a weekly summary of our research findings for 6/23/25 through 6/27/25. 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 do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB US Dollar Index Bullish Fund (UUP) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) or the Simple Asset Class ETF Value Strategy (SACEVS) at a monthly measurement… Keep Reading

Could mutual fund managers achieve performance improvements by “hiring” artificial intelligence (AI) analysts? In their May 2025 working draft entitled “The Shadow Price of ‘Public’ Information”,  Ed deHaan, Chanseok Lee, Miao Liu and Suzie Noh estimate the value of an AI stock picking analyst by having it exploit public data to improve mutual fund holdings. Specifically,… Keep Reading

How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census Bureau data. We make the following head-of-household age cohort assumptions: “Less than 35 years” means about age 30. “35 to… Keep Reading

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 introduce the concept of the factor mirage, a factor model that appears statistically valid but is causally mis-specified. They then… Keep Reading

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 any reliable patterns in daily U.S. stock market returns around mid-year and the 4th of July? To check, we analyze… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.