Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for July 2025 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for July 2025 (Final)
1st ETF 2nd ETF 3rd ETF
Filter Research

Investing Research Articles

3736 Research Articles

Signals from Trading Volumes of Informed Traders

Do the trading activities of especially informed equity and equity option traders predict stock returns? In the June 2025 revision of their paper entitled “An Information Factor: What Are Skilled Investors Buying and Selling?”, Matthew Ma, Xiumin Martin, Matthew Ringgenberg and Guofu Zhou construct an information factor (INFO) using the trades of corporate insiders, short… Keep Reading

Blockchaining Financial Markets

Blockchain is a decentralized, secure digital ledger that automatically records transactions across many computers. Each block of data contains a list of transactions, with blocks linked to form a chain. Cryptography ensures integrity and immutability of block data. Could broad use of blockchain technology make financial markets better? In their May 2025 paper entitled “Crypto… Keep Reading

Other Asset Classes Predict REIT Returns?

A subscriber asked whether behaviors of other asset classes predict those of real estate investment trusts (REIT) as proxied by Vanguard Real Estate Index Fund ETF Shares (VNQ). To investigate, we relate VNQ monthly returns to monthly returns of four exchange-traded fund (ETF) asset class proxies: SPDR S&P 500 ETF (SPY) iShares 20+ Year Treasury… Keep Reading

Weekly Summary of Research Findings: 6/30/25 – 7/3/25

Below is a weekly summary of our research findings for 6/30/25 through 7/3/25. 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.

Performance of Private Equity Funds

Do private equity funds beat the public equity market, as implied by allocations of large investors such as university endowments, pension funds and sovereign wealth funds? In his June 2025 paper entitled “Apples and Oranges: Benchmarking Games and the Illusion of Private Equity Outperformance”, Ludovic Phalippou updates private equity fund performance, focusing on 2000-2019 vintage… Keep Reading

A Low-volatility Factor for Standard Models of Stock Returns?

Given the body of research on the outperformance of low-risk stocks, should the equity asset pricing community add a low-volatility factor in standard models of stock returns? In their June 2025 paper entitled “Factoring in the Low-Volatility Factor”, Amar Soebhag, Guido Baltussen and Pim van Vliet investigate adding a low-volatility factor to standard models via… Keep Reading

Asset Class ETF Interactions with the Euro

How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) 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 frequency. Using… Keep Reading

SACEMS, SACEVS and Trading Calendar Updates

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.

Preliminary SACEMS and SACEVS Allocation Updates

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.

Overthinking Downside Risk?

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