Investing Research Articles

Can investors rely upon general-purpose Artificial Intelligence (AI) to tackle the complex data science problems of investment analysis? In his July 2025 presentation package entitled “AI Challenges in Mathematical Investing”, Marcos Lopez de Prado addresses why AI-driven methods fail in the context of investing and offers insights into how these challenges can be mitigated. Based… Keep Reading

Does asymmetry in the design/performances of leveraged and inverse exchange-traded products create a reliable edge? In his July 2025 paper entitled “Deception by Design: Leveraged ETFs, Structural Fraud, and Proof of Outperformance”, Rob Bezdjian analyzes the general construction and performance of leveraged and inverse exchange-traded funds (ETF). He then devises and tests a (“Handsome Rob”)… Keep Reading

Below is a weekly summary of our research findings for 7/28/25 through 8/1/25. 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.

Does the U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500 returns across calendar months. Using daily SP500 returns during January 1990 through June 2025, we find that:

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 July 2025.

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

What happens if we add bitcoin, as proxied by Grayscale Bitcoin Trust ETF (GBTC), to the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month holds the top one (Top 1), the equal-weighted top two (EW Top 2) or the equal-weighted top three (EW Top 3) asset class proxy ETFs… Keep Reading

Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII) via a weekly survey of members. This survey asks AAII members each week (Thursday through Wednesday): “Do you feel the… Keep Reading

“Stock Size and Excess Stock Portfolio Growth” finds that an equal-weighted portfolio of the (each day) 1,000 largest U.S. stocks beats its market capitalization-weighted counterpart by about 2% per year. However, the underlying research does not account for portfolio rebalancing costs and may not be representative of other stock universes. Do exchange-traded funds (ETF) that… Keep Reading

In times of economic uncertainty, traditional safe haven assets (bonds and gold) have often failed. Is there a more robust safe haven approach? In his July 2025 paper entitled “Defense First: A Multi-Asset Tactical Model for Adaptive Downside Protection”, Thomas Carlson introduces the Defense First portfolio, which employs four macro-hedging assets: iShares 20+ Year Treasury… Keep Reading