Investing Research Articles

Does the ICE BofAML MOVE Index, the implied volatility of U.S. Treasuries as derived from options on U.S. Treasuries with maturities 2, 5, 10 and 30 years, usefully predict U.S. stock market and U.S. Treasury...

Below is a weekly summary of our research findings for 9/15/25 through 9/19/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Are hedge fund-oriented strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider 10 ETFs, five live and five dead (in order of inception dates): NYLI Hedge Multi-Strategy Tracker ETF (QAI) – seeks...

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising...

Can investors exploit the uneven playing field of leveraged and inverse exchange-traded fund (LETF) share creation and redemption? In his August 2025 paper entitled “Leveraged ETF Issuance During Market Stress and the Mechanics of Profit:...

What variables drive differences in price-to-earnings ratios (P/E) across U.S. stocks? In the September 2025 revision of their paper entitled “The Cross-section of Subjective Expectations: Understanding Prices and Anomalies”, Ricardo Delao, Xiao Han and Sean...

Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight multifactor ETFs, all currently available: iShares Edge MSCI Multifactor USA (LRGF) – holds large and mid-cap U.S. stocks with...

Below is a weekly summary of our research findings for 9/8/25 through 9/12/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked about the lead-lag relationship between S&P 500 earnings and S&P 500 Index returns. To investigate, we relate actual aggregate S&P 500 operating and as-reported earnings to S&P 500 Index returns at both...

Are preferred stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven of the largest preferred stock ETFs, all currently available, in order of longest to shortest available histories: Invesco Financial...

A subscriber asked about current evidence that high-dividend stocks outperform the market. To investigate, we compare performances of 10  exchange-traded funds (ETFs) holding high-dividend stocks to that of SPDR S&P 500 (SPY) as a proxy for...

What is the outlook for the price of bitcoin over the next decade? In their August 2025 paper entitled “Bitcoin Supply, Demand, and Price Dynamics”, Murray Rudd and Dennis Porter model the price evolution of...

Do AIs that incorporate audio and video (multimodal) aspects of firm/stock analysis (e.g. from YouTube), including tone, delivery style and facial expressions, distill better buy and sell recommendations from financial influencers (finfluencers) than text-only large...

Below is a weekly summary of our research findings for 9/2/25 through 9/5/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares – GLD) return, change in the all-items consumer price index (CPI) or change in the effective federal...

Is the performance of listed private equity funds (LPE) on the London Stock Exchange attractive? In their August 2025 paper entitled “What the London Stock Exchange can Teach Us About Private Equity”, Richard Ennis and...

How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR  and look at lead-lag relationships between change in EFFR and...

Do exchange-traded funds (ETF) focused on cybersecurity stocks offer attractive performance? To investigate, we compare performance statistics of five cybersecurity ETFs, all currently available, to those of Invesco QQQ Trust (QQQ), as follows: Amplify Cybersecurity...

Below is a weekly summary of our research findings for 8/25/25 through 8/29/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Do exchange-traded funds (ETF) that hold convertible corporate bonds offer attractive performance? To investigate, we compare performance statistics for the following four convertible bond ETFs, all currently available, to those for a monthly rebalanced 60%-40%...

Do returns for U.S. stock options exhibit half-day momentum/reversal effects? In their August 2025 paper entitled “In Search of Seasonality in Intraday and Overnight Option Returns”, Turan Bali, Amit Goyal, Mathis Moerke and Florian Weigert...

Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news...

Do exchange-traded funds (ETF) that track asset classes, such as those used in the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS), exhibit reliable seasonalities? To check,...

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from...

Below is a weekly summary of our research findings for 8/18/25 through 8/22/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...