Investing Research Articles

Would using a rolling, rather than an inception-to-date (ITD), lookback window for calibration of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) improve their performances? SACEVS allocates funds to 3-month Treasury bills (T-bill or Cash), iShares 20+ Year Treasury Bond ETF (TLT), iShares iBoxx $ Investment Grade Corporate… Keep Reading

Can traders generate attractive returns by frontrunning orders of large funds as they predictably rebalance from past winning asset classes to past losing asset classes? In their January 2025 paper entitled “The Unintended Consequences of Rebalancing”, Campbell Harvey, Michele Mazzoleni and Alessandro Melone investigate market impacts of asset class rebalancing based on deviations from allocation… Keep Reading

What do expectations for Bitcoin supply and demand imply for the future trajectory of its price? In the January 2025 revision of their paper entitled “A Supply and Demand Framework for Bitcoin Price Forecasting”, Murray Rudd and Dennis Porter construct a supply-and-demand model to forecast Bitcoin price trajectory. Their model combines a fixed, inelastic supply… Keep Reading

Can investors get a trading edge from CME FedWatch, which tracks probabilities of changes to the Federal Funds Rate (FFR) at future FOMC meetings based on the prices of 30-day Fed Funds futures contracts? In their January 2025 paper entitled “Watching the FedWatch”, flagged by a subscriber, Stefano Bonini, Shengyu Huang and Majeed Simaan compare… Keep Reading

Below is a weekly summary of our research findings for 2/10/25 through 2/14/25. 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 large language models (LLM) handle complex financial reasoning tasks that require multi-step logic, market knowledge and regulatory adherence? In his December 2024 paper entitled “Large Language Models in Finance: Reasoning”, Miquel Noguer I Alonso surveys and extends techniques for enhancing LLM reasoning capabilities. He presents detailed finance-specific coding examples, including dynamic portfolio optimization, scenario… Keep Reading

“Daily Global Investor Sentiment” discusses the risk-on/risk-off (RORO) index as a measure of global investor risk appetite, with the underlying dataset publicly available. Can investors exploit this dataset for short-term timing of investments in stocks (risk-on) and government bonds (risk-off)? To investigate, we relate future daily returns for SPDR S&P 500 ETF Trust (SPY) and… Keep Reading

Can a multifaceted measure of investor sentiment convincingly predict returns? In their November 2024 paper entitled “Risk-on/Risk-off: Measuring Shifts in Investor Sentiment”, flagged by a subscriber, Anusha Chari, Karlye Stedman and Christian Lundblad explore risk-on/risk-off (RORO) as the variation in global investor risk taking behavior. Their RORO index captures time-varying investor risk appetite as the… Keep Reading

Is proximity to doom good or bad for the U.S. stock market? To measure proximity to doom, we use the Doomsday Clock “Minutes-to-Midnight” metric, revised intermittently in late January via the Bulletin of the Atomic Scientists, which “warns the public about how close we are to destroying our world with dangerous technologies of our own… Keep Reading

Why do many retail investors stick with high-cost, full-service brokers? In their January 2025 paper entitled “Fee Awareness and Brokerage Choice”, Gregory Eaton, Steven Malliaris and Miguel Puertas survey a sample of retail customers of full-service brokers to answer this question. They assemble 399 survey participants via CloudResearch, requiring that each: lives in the U.S.;… Keep Reading