Investing Research Articles

A subscriber requested measurement of a “premium” associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares MSCI EAFE Index Fund (EFA) Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by… Keep Reading

“Seasonal Strategy for QQQ?” finds an interesting even year-odd year effect in Invesco QQQ Trust (QQQ) annual returns. The Trading Calendar and “Monthly Returns During Presidential and Congressional Election Years” find notable differences in S&P 500 Index performances for even years and odd years. A plausible culprit is federal elections. Is this effect growing over time?… Keep Reading

Does finance professor David Kass, who presents annual lists of stock picks on Seeking Alpha, make good selections? To investigate, we consider his picks of “10 Stocks for 2020”, “16 Stocks For 2021”, “12 Stocks For 2022”, “10 Stocks For 2023” and “10 Stocks For 2024”. For each year and each stock, we compute total… Keep Reading

Below is a weekly summary of our research findings for 2/24/25 through 2/28/25. 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.

“SACEVS and SACEMS Strategy Momentum?” finds support for belief that a strategy exploiting the relative performance of Simple Asset Class ETF Value Strategy (SACEVS) Best Value and Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 boosts performance, with focus on a 60%-40% tilt toward the strategy with the stronger past returns. It… Keep Reading

How might an investor construct a portfolio of very risky assets? To investigate, we revisit ideas first considered five years ago: First, diversify with monthly rebalancing of (the GBTC portfolio): Grayscale Bitcoin Trust ETF (GBTC), an indirect Bitcoin holding. SPDR Gold Shares (GLD), an indirect gold holding. ProShares Short VIX Short-Term Futures ETF (SVXY), to… Keep Reading

Can large language models (LLMs) mimic expert economic forecasters? In their December 2024 paper entitled “Simulating the Survey of Professional Forecasters”, Anne Hansen, John Horton, Sophia Kazinnik, Daniela Puzzello and Ali Zarifhonarvar employ a set of LLMs (primarily GPT-4o mini) to simulate economic forecasts of experts who participate in the Survey of Professional Forecasters. Specifically,… Keep Reading

Do stock-by-stock return forecasts from deep learning produce an exploitable aggregate equity risk premium (ERP) forecast? In the January 2025 revision of their paper entitled “The Aggregated Equity Risk Premium”, Vitor Azevedo, Christoph Riedersberger and Mihail Velikov predict ERP by first applying deep learning to predict returns for individual U.S. stocks and then aggregating these… Keep Reading

Does the conventional rule (inferred from 1926-1992 U.S. stocks and bonds data) that retirees can safely withdraw an inflation-adjusted 4% from their retirement accounts annually for at least 30 years hold, after accounting for market frictions? In his February 2025 paper entitled “How the 4% Rule Would Have Failed in the 1960s: Reflections on the… Keep Reading

Below is a weekly summary of our research findings for 2/18/25 through 2/21/25. 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.