Investing Research Articles

A subscriber suggested adding U.S. large-capitalization growth and value funds to the asset class proxy universe in the Simple Asset Class ETF Momentum Strategy (SACEMS) to capture associated growth and value streakiness. To investigate, we select Vanguard Growth Index Fund ETF Shares (VUG) and Vanguard Value Index Fund ETF Shares (VTV) as growth and value… Keep Reading

Are all stocks except U.S. growth cheap? In his brief February 2025 paper entitled “Decomposing Equity Returns: Earnings Growth vs. Multiple Expansion”, David Blitz decomposes equity returns of different global equity markets and styles (size, low-volatility, value) into dividend yield, earnings growth and multiple expansion. The decomposition consists of: Subtracting price return from total return… Keep Reading

Are correlations and R-squared statistics sufficient to discover reliable connections between financial/economic variables and future asset returns? In their February 2025 paper entitled “Causal Factor Analysis is a Necessary Condition for Investment Efficiency”, Marcos Lopez de Prado, Alexander Lipton and Vincent Zoonekynd assess the consequences of factor model misspecification for portfolio optimization (maximizing expected return… Keep Reading

Has concentration of world equity market capitalization in a few technology megacaps disrupted factor investing? In his short February 2025 paper entitled “Implications of Increased Index Concentration for Active Investors”, David Blitz examines implications of the rise of megacap technology stocks for factor portfolio management. He first considers strategies that focus on capturing a single… Keep Reading

Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the current state of and prospects for the U.S…. Keep Reading

Below is a weekly summary of our research findings for 3/3/25 through 3/7/25. 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.

What is the best type of account to use for a Treasury Inflation Protected Securities (TIPS) ladder, constructed with incremental maturities to generate a constant risk-free stream of real future withdrawals via compounded inflation adjustments? In his February 2025 paper entitled “Best Asset Location for a TIPS Ladder”, Edward McQuarrie models TIPS behaviors and tax… Keep Reading

How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in CPI and returns for each of the following 10 exchange-traded fund (ETF)… Keep Reading

A subscriber requested measurement of a “premium” associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares MSCI EAFE Index Fund (EFA) Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by… Keep Reading

“Seasonal Strategy for QQQ?” finds an interesting even year-odd year effect in Invesco QQQ Trust (QQQ) annual returns. The Trading Calendar and “Monthly Returns During Presidential and Congressional Election Years” find notable differences in S&P 500 Index performances for even years and odd years. A plausible culprit is federal elections. Is this effect growing over time?… Keep Reading