Investing Research Articles

Why do factor timing strategies that shine in research papers disappoint in real life? In his May 2025 paper entitled “Caveats of Simple Factor Timing Strategies”, David Blitz discusses the following  simple factor timing strategies with material and statistically significant outperformance per published studies: Short-term factor momentum – each month allocates 40%, 30%, 20%, 10%… Keep Reading

Below is a weekly summary of our research findings for 6/2/25 through 6/6/25. 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) be trusted for economic/financial forecasts during periods within their training data? In their April 2025 paper entitled “The Memorization Problem: Can We Trust LLMs’ Economic Forecasts?”, Alejandro Lopez-Lira, Yuehua Tang and Mingyin Zhu evaluate use of  ChatGPT 4o (knowledge cutoff October 2023) for economic/financial forecasting via: Forecasts of variables before… Keep Reading

Should investors expect a negative correlation between stock market and bond market returns? In his February 2025 paper entitled “Rethinking the Stock-Bond Correlation”, Thierry Roncalli examines the stocks-bond return correlation from theoretical and empirical perspectives, employing a 4-year rolling window of monthly returns for the latter. Using both long-term and recent returns, he finds that:

Should stock return model complexity guide breadth of input data? In their May 2025 paper entitled “Model Complexity and the Performance of Global Versus Regional Models”, Minghui Chen, Matthias Hanauer and Tobias Kalsbach assess the predictive performance of global versus regional inputs for stock return models based on linear and machine learnings algorithms: ordinary least… Keep Reading

How has “A Quantitative Approach to Tactical Asset Allocation”, authored by Meb Faber in 2006 and published in The Journal of Wealth Management in 2007, performed post-publication? In his April 2025 paper entitled “Global Tactical Asset Allocation Updated Results and Real-Market Implementation Using Python and IBKR”, Carlo Zarattini revisits this influential strategy, which at the end… Keep Reading

Can investors exploit analyst stock price targets by finding the best analysts and overweighting the most extreme target-implied returns? In their March 2025 paper entitled “Alpha in Analysts”, Álvaro Cartea and Qi Jin test the informativeness and exploitability of sell-side analyst stock price targets. To test informativeness of target prices, they each month for each… Keep Reading

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 May 2025.

Below is a weekly summary of our research findings for 5/27/25 through 5/30/25. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for June 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.