Are correlations and R-squared statistics sufficient to discover reliable connections between financial/economic variables and future asset returns? In their February 2025 paper entitled “Causal Factor Analysis is a Necessary Condition for Investment Efficiency”, Marcos Lopez...
Has concentration of world equity market capitalization in a few technology megacaps disrupted factor investing? In his short February 2025 paper entitled “Implications of Increased Index Concentration for Active Investors”, David Blitz examines implications of...
Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms...
Below is a weekly summary of our research findings for 3/3/25 through 3/7/25. 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 best type of account to use for a Treasury Inflation Protected Securities (TIPS) ladder, constructed with incremental maturities to generate a constant risk-free stream of real future withdrawals via compounded inflation adjustments?...
How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate,...
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...
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...
“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...
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),...
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...
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...
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...
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...
Would using a rolling, rather than an inception-to-date (ITD), lookback window for calibration of the Best Value and Weighted versions of the “Simple Asset Class ETF Value Strategy” (SACEVS) improve their performances? SACEVS allocates funds...
Can traders generate attractive returns by frontrunning orders of large funds as they predictably rebalance from past winning asset classes to past losing asset classes? In their January 2025 paper entitled “The Unintended Consequences of...
What do expectations for Bitcoin supply and demand imply for the future trajectory of its price? In the January 2025 revision of their paper entitled “A Supply and Demand Framework for Bitcoin Price Forecasting”, Murray...
Can investors get a trading edge from CME FedWatch, which tracks probabilities of changes to the Federal Funds Rate (FFR) at future FOMC meetings based on the prices of 30-day Fed Funds futures contracts? In...
Below is a weekly summary of our research findings for 2/10/25 through 2/14/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can large language models (LLM) handle complex financial reasoning tasks that require multi-step logic, market knowledge and regulatory adherence? In his December 2024 paper entitled “Large Language Models in Finance: Reasoning”, Miquel Noguer I Alonso...
“Daily Global Investor Sentiment” discusses the risk-on/risk-off (RORO) index as a measure of global investor risk appetite, with the underlying dataset publicly available. Can investors exploit this dataset for short-term timing of investments in stocks...
Can a multifaceted measure of investor sentiment convincingly predict returns? In their November 2024 paper entitled “Risk-on/Risk-off: Measuring Shifts in Investor Sentiment”, flagged by a subscriber, Anusha Chari, Karlye Stedman and Christian Lundblad explore risk-on/risk-off...
Why do many retail investors stick with high-cost, full-service brokers? In their January 2025 paper entitled “Fee Awareness and Brokerage Choice”, Gregory Eaton, Steven Malliaris and Miguel Puertas survey a sample of retail customers of...
Below is a weekly summary of our research findings for 2/3/25 through 2/7/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is stock price all-time high a consistently effective trigger for trend following? In their January 2025 paper entitled “Does Trend-Following Still Work on Stocks?”, Carlo Zarattini, Alberto Pagani and Cole Wilcox revisit and extend the...