Investing Research Articles

Subscribers asked whether substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) improves outcomes. To investigate, we substitute monthly QQQ dividend-adjusted returns for SPY dividend-adjusted returns in the two model strategies. We then compare the modified… Keep Reading

The performance of conventional factor portfolios, long and short extreme quantiles of assets sorted on the factor metric, faces considerable skepticism (see “Compendium of Live ETF Factor/Niche Premium Capture Tests”). Is their some more surgical way to capture theoretical factor premiums? In their March 2025 paper entitled “Investment Base Pairs”, Christian Goulding and Campbell Harvey… Keep Reading

Do exchange-traded funds (ETF) designed to exploit sentiment indicators beat the market? To investigate, we consider three such ETFs, all currently available, as follows: VanEck Social Sentiment ETF (BUZZ) – invests in common stocks of U.S. companies with the most “positive insights” collected from online sources including social media, news articles, blog posts and other… Keep Reading

Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index before and after the holiday. Using daily closing levels of the S&P 500 index for 1950-2024 (75 events), we find… Keep Reading

Below is a weekly summary of our research findings for 4/7/25 through 4/11/25. 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 state of bitcoin exchange-traded products (ETP)? In the March 2025 update of his brief paper entitled “One Year of Bitcoin Spot ETPs: A Brief Market and Fund Flow Analysis”, Nico Oefele analyzes dynamics of the bitcoin spot ETP marketplace, focusing on assets under management (AUM), net fund flows and key drivers of… Keep Reading

What are the different ways of estimating the equity risk premium, and which one is best? In his March 2025 paper entitled “Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2025 Edition”, Aswath Damodaran updates a comprehensive overview of equity risk premium estimation. He examines why different approaches to estimating the premium disagree… Keep Reading

Can large language models (LLM) help improve portfolio performance metrics, portfolio optimization and strategy feature discovery? In his three January-February 2025 papers entitled “AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics”, “AlphaPortfolio: Discovery of Portfolio Optimization and Allocation Methods Using LLMs” and “AlphaQuant: LLM-Driven Automated Robust Feature Engineering for Quantitative Finance”, Kamer Yuksel explores use of… Keep Reading

Do opening gaps reliably indicate either reversal or continuation for the balance of the trading day? To investigate, we relate opening gaps to subsequent open-to-close returns for SPDR S&P 500 ETF Trust (SPY). Using daily SPY closes and opens, both adjusted for dividends, from the end of January 1993 (SPY inception) through late March 2025,… Keep Reading

Are plans to use nuclear power to provide electricity for proliferating data centers driving attractive performance for uranium exchange-traded-funds (ETF)? To investigate, we consider four such ETFs, all currently available: VanEck Uranium and Nuclear ETF ETF (NLR) – picks stocks and depositary receipts of firms involved in uranium and nuclear energy. Global X Uranium ETF… Keep Reading