Below is a weekly summary of our research findings for 5/5/25 through 5/9/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Should those aiming to exploit machine learning for portfolio construction focus model training on the broad market or specific industries? In their April 2025 paper entitled “Do Machine Learning Models Need to Be Sector Experts?”,...
“What Kind of Asset Is Bitcoin?” assesses relationships between of the Grayscale Bitcoin Trust ETF (GBTC) as a proxy for bitcoin holdings and each of 35 exchange-traded products based on daily and monthly return correlations....
Does the evolution of empirical asset pricing point inevitably to machine learning methods? In his February 2025 paper entitled “From Econometrics to Machine Learning: Transforming Empirical Asset Pricing”, Chuan Shi summarizes the transition from traditional...
“U.S. Stock Market Death Crosses and Golden Crosses” employs long samples to examine behaviors of the Dow Jones Industrial Average and the S&P 500 Index after death crosses and golden crosses, respectively the 50-day simple...
A subscriber suggested looking at the S&P 500 price-to-sales ratio (P/S) as an indicator for timing the U.S. stock market. To investigate, we relate P/S and change in P/S to S&P 500 Index (SP500) quarterly...
Below is a weekly summary of our research findings for 4/28/25 through 5/2/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can aggregate, distilled daily stock sentiment and attention, as extracted from financial social media, usefully predict U.S. stock market returns? In their March 2025 paper entitled “Market Signals from Social Media”, Anthony Cookson, Runjing Lu,...
Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to the CBOE VIX Index itself a useful indicator of future stock market...
Is the implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, a useful indicator of future stock market returns? To investigate, we relate monthly VVIX and...
Do alternative investments (real estate, venture capital, private equity, hedge funds, private credit, infrastructure and energy investments) offer attractive returns and diversification, buffering investors from the vagaries of the stock market? In his March 2025...
What are the costs of mitigating tail risk via exchange-traded funds (ETF) designed to manage it? To investigate, we consider seven such ETFs, three dead and four live, as follows: VelocityShares Tail Risk Hedged Large...
Below is a weekly summary of our research findings for 4/21/25 through 4/25/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P...
How are behaviors of gold and silver exchange-traded funds (ETF) similar and different? To investigate, we compare behaviors of iShares Silver Trust (SLV) and SPDR Gold Shares (GLD) using daily and monthly return frequencies. We...
Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth) for each of the following three matched pairs of value-growth ETFs: iShares...
Is the ability of artificial intelligence (AI) platforms such as ChatGPT to summarize and interpret large volumes of financial data altering investor trading behaviors and thereby changing financial markets? In the April 2025 revision of...
Do exchange-traded funds (ETF) designed to make private equity available to individual investors beat the market? To investigate, we consider five ETFs, as follows: Invesco Global Listed Private Equity ETF (PSP) – invests in 40...
Below is a weekly summary of our research findings for 4/14/25 through 4/17/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Subscribers asked whether substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) improves outcomes. To investigate,...
The performance of conventional factor portfolios, long and short extreme quantiles of assets sorted on the factor metric, faces considerable skepticism (see “Compendium of Live ETF Factor/Niche Premium Capture Tests”). Is their some more surgical...
Do exchange-traded funds (ETF) designed to exploit sentiment indicators beat the market? To investigate, we consider three such ETFs, all currently available, as follows: VanEck Social Sentiment ETF (BUZZ) – invests in common stocks of...
Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index...
Below is a weekly summary of our research findings for 4/7/25 through 4/11/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What is the state of bitcoin exchange-traded products (ETP)? In the March 2025 update of his brief paper entitled “One Year of Bitcoin Spot ETPs: A Brief Market and Fund Flow Analysis”, Nico Oefele analyzes...