Investing Research Articles

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 month rank the nine SACEMS assets based on past return with one excluded (nine separate test series) and reform the… Keep Reading

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

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) and for SPDR S&P 500 ETF Trust (SPY). Using monthly dividend-adjusted returns for XHB and SPY during February 2006 (inception… Keep Reading

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 private equity access to retail investors. He highlights risks embedded in current product design. Based on review of such offerings,… Keep Reading

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 monthly worldwide search intensity for “bitcoin” as measured by Google Trends to represent speculator attention and monthly bitcoin returns. Using… Keep Reading

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 return variability for each day of the week; (2) gross cumulative return for holding bitcoin only one day of the… Keep Reading

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 each week to provide a number which represents their overall equity exposure at the market close on a specific day… Keep Reading

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

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 Trading LETFs a Day Late can make you a Dollar Richer”, Rob Bezdjian introduces the “Day Late-Dollar Richer” (DLDR)… Keep Reading

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 relative to gold. They use VanEck Gold Miners ETF (GDX) as a proxy for gold miners and SPDR Gold Shares… 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

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 why AI-driven methods fail in the context of investing and offers insights into how these challenges can be mitigated. Based… Keep Reading

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 the general construction and performance of leveraged and inverse exchange-traded funds (ETF). He then devises and tests a (“Handsome Rob”)… Keep Reading

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

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 daily SP500 returns during January 1990 through June 2025, we find that:

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 1), the equal-weighted top two (EW Top 2) or the equal-weighted top three (EW Top 3) asset class proxy ETFs… Keep Reading

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) via a weekly survey of members. This survey asks AAII members each week (Thursday through Wednesday): “Do you feel the… Keep Reading

“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 not account for portfolio rebalancing costs and may not be representative of other stock universes. Do exchange-traded funds (ETF) that… Keep Reading

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 for Adaptive Downside Protection”, Thomas Carlson introduces the Defense First portfolio, which employs four macro-hedging assets: iShares 20+ Year Treasury… Keep Reading

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

Why not select and weight stocks in a growth portfolio using only firm growth fundamentals rather than variables that depend on stock price? In their July 2025 paper entitled “Fundamental Growth”, Robert Arnott, Chris Brightman, Campbell Harvey, Que Nguyen and Omid Shakernia investigate performance of stocks exhibiting growth in fundamentals such as sales, gross profit… Keep Reading

The value of holdings in passive (capitalization-weighted, index tracking) U.S. equity funds now exceeds that in active U.S. equity funds. In their May 2025 paper entitled “Passive Aggressive: The Risks of Passive Investing Dominance”, Chris Brightman and Campbell Harvey explore implications of the dramatic growth in passive investment strategies, including loss of diversification and mispricing…. Keep Reading

Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of eight ESG ETFs, all currently available, to those of simple and liquid benchmark ETFs, as follows: iShares MSCI USA ESG Select ETF (SUSA), with SPDR S&P 500 ETF Trust (SPY) as… Keep Reading

Do term structures of commodity futures contract series shift in an exploitably predictable way? In their May 2025 paper entitled “Short-Term Basis Reversal”, Alberto Rossi, Yingguang Zhang and Yandi Zhu examine relationships between the return spread between adjacent (especially first-minus-second) maturity commodity futures contracts and future returns on these contracts. They consider both cross-sectional and… Keep Reading

Is aggregate net U.S. public company stock buyback activity a useful predictor of U.S. stock market return? To investigate, we relate the quarterly FRED Security Repurchase Agreements; Nonfinancial Corporate Business series (buybacks) to quarterly S&P 500 Index (SP500) returns. This FRED series tracks dollar values of aggregate net stock buybacks by nonfinancial corporations. Specifically, we… Keep Reading