October 31, 2025 - Currency Trading
What are the essential investment features of crypto-assets? In their October 2025 paper entitled “Cryptocurrency as an Investable Asset Class: Coming of Age”, Nicola Borri, Yukun Liu, Aleh Tsyvinski and Xi Wu synthesize the rapidly growing body of research on crypto-assets into 10 statements summarizing how they behave in aggregate as an asset class, how… Keep Reading
October 30, 2025 - Sentiment Indicators
Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading
October 29, 2025 - Fundamental Valuation, Technical Trading
Can machine learning exploit many stock similarity factors to produce exceptional statistical arbitrage (pairs trading) performance? In their August 2025 paper entitled “Attention Factors for Statistical Arbitrage”, Elliot Epstein, Rose Wang, Jaewon Choi and Markus Pelger present the Attention Factor Model, which employs machine learning to: Identify similar stocks based on both past returns and… Keep Reading
October 28, 2025 - Calendar Effects, Size Effect
Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end of the calendar year for the Russell 2000 Index, the S&P 500 Index and the Dow Jones Industrial Average (DJIA)… Keep Reading
October 27, 2025 - Momentum Investing, Technical Trading
What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following ten asset class exchange-traded funds (ETF), plus Cash: Invesco DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index (EEM) iShares JPMorgan Emerging Markets Bond Fund (EMB) iShares… Keep Reading
October 24, 2025 - Miscellaneous
Below is a weekly summary of our research findings for 10/20/25 through 10/24/25. 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.
October 24, 2025 - Economic Indicators
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for September 2025. The actual total (core) inflation rate is very slightly higher than (very slightly lowerthan) forecasted.
October 24, 2025 - Calendar Effects, Gold
Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2025, we find that:
October 23, 2025 - Aesthetic Investments
How should investors think about the risks and returns of music royalties, which have become transparent in the streaming era, as an asset class? In their September 2025 paper entitled “Music as an Asset Class”, Sasha Stoikov, Aadityaa Singla, Umu Cetin and Luis Alonso Cendra Villalobos test three discounted cash flow (DCF) models on transactions… Keep Reading
October 22, 2025 - Big Ideas
The Sharpe ratio is the most widely used measure of investment efficiency. Is it truly reliable? In their September 2025 paper entitled “How to Use the Sharpe Ratio”, Marcos Lopez de Prado, Alexander Lipton and Vincent Zoonekynd review the shortcomings of conventional Sharpe ratio analysis and tackle these issues via several corrections. They also address… Keep Reading