Investing Research Articles

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 returns? To investigate, we relate monthly VVIX/VIX and monthly change in VVIX/VIX to monthly SPDR S&P 500 ETF Trust (SPY)… 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 April 2025.

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

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 monthly change in VVIX to monthly SPDR S&P 500 ETF Trust (SPY) total returns. Using end-of-month levels of both VVIX… Keep Reading

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 paper entitled “The Demise of Alternative Investments”, Richard Ennis examines contributions of alternative investments (alts) to pension fund and endowment… Keep Reading

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 Cap ETF (TRSK) – hedges against tail risk by allocating 85% (15%) of assets to ETFs that track the S&P… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading

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 also look at full-sample compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using daily and monthly returns for SLV, GLD and… Keep Reading

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 Russell 2000 Growth ETF (IWO) iShares Russell 2000 Value ETF (IWN) iShares Russell Mid-Cap Growth ETF (IWP) iShares Russell Mid-Cap… Keep Reading