Investing Research Articles

How material is the rebalance timing luck (RTL) induced by picking a trading day to reform a monthly stock momentum strategy? Is there a way to manage the risk of bad luck? In their November...

Below is a weekly summary of our research findings for 12/1/25 through 12/5/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Can investors rely on price/return momentum as an eternal strategy foundation? In their August 2025 paper entitled “Momentum Factor Investing: Evidence and Evolution”, flagged by a subscriber, Bart van Vliet, Guido Baltussen, Sipke Dom and...

“Developed Country Stock Index Momentum?” summarizes a short paper finding that  MSCI developed country stock market indexes may exhibit exploitable momentum since 1970. However, indexes do not include costs of maintaining index-tracking funds, and the availability of...

Is there an easy, low-frictions way to implement an attractive momentum strategy at the country market level? In his short October 2025 paper entitled “The Lazy Man’s Momentum Strategy”, flagged by a subscriber, Javier Estrada...

Does bitcoin now behave like a conventional financial asset? In their short November 2025 paper entitled “From Time-Series Momentum to Size-Factor Comovement: Bitcoin’s Continuing Evolution as a Financial Asset”, Samuel Rosen and Hongcheng Wang investigate...

Can a large language model (LLM) applied to social media data catalog the strategy choices, sentiment and trading behavior of retail investors? In the November 2025 revision of their paper entitled “Wisdom or Whims? Decoding...

Below is a weekly summary of our research findings for 11/24/25 through 11/28/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

“Nixed: The Upside of Getting Dumped”, flagged by a subscriber, finds that “index deletions…could add an abnormal upside to a portfolio when the current growth-dominated bubble starts to deflate.” The authors have quantified findings as...

How do exchange-traded-funds (ETF) focused on Treasury Inflation-Protected Securities (TIPS) perform? To investigate, we consider ten of the largest TIP ETFs, all currently available, as follows: iShares TIPS (TIP) Schwab U.S. TIPS (SCHP) Vanguard Short-Term...

Do analysts/investors predictably and exploitably misinterpret tones of earnings calls? In their October 2025 paper entitled “Do Investors Get It Right? Reaction Bias to Earnings Calls”, Zhenzhen Fan and Fred Liu study interactions between textual...

Do informed put option buyers predict overall U.S. stock market returns? In her November 2025 paper entitled “Put Option Trading Efficiency”, Xiaolin Huo constructs a monthly Put Option Trading Efficiency (POTE) variable to measure the...

Below is a weekly summary of our research findings for 11/17/25 through 11/21/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does the Thanksgiving holiday, a time of families celebrating plenty, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index...

How do exchange-traded-funds (ETF) that employ artificial intelligence (AI) to pick assets perform? To investigate, we consider ten such ETFs, eight of which are currently available: Amplify AI Powered Equity ETF (AIEQ) – picks U.S....

A subscriber suggested review of The Book of Alternative Data: A Guide for Investors, Traders, and Risk Managers , a 2020 book by Alexander Denev and Saeed Amen. In this book, the authors address “the...

A subscriber asked about the relationship between Berkshire Hathaway cash position and S&P 500 Index returns. To investigate, we: Located annual “Berkshire Hathaway (BRK-B) – Cash on Hand” data as a baseline cash pile. Asked...

Can insights inferred from real-time financial news by large language models (LLM) such as ChatGPT 4.0 mini enhance a conventional stock momentum strategy? In their October 2025 paper entitled “ChatGPT in Systematic Investing – Enhancing...

Below is a weekly summary of our research findings for 11/10/25 through 11/14/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

A subscriber asked about the performance of a 50-50 combination of a basket of momentum stock exchange-traded funds (ETF) and a basket of quality stock ETFs, specifically with comparison to a 50-50 combination of the...

Are stock quality strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six ETFs, all currently available (from oldest to youngest): Invesco S&P 500 Quality ETF (SPHQ) – seeks to track performance...

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider nine momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco Dorsey Wright...

Does P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) usefully predict U.S. stock market returns? Per Robert Shiller’s data, P/E10 is inflation-adjusted S&P Composite Index level divided by average monthly inflation-adjusted 12-month trailing earnings of index companies over the last...

A subscriber asked about the track record of Steven Cress, VP of Quantitative Strategy and Market Data at Seeking Alpha. To investigate, we search for his annual top 10 stock lists, with results as follows:...

Below is a weekly summary of our research findings for 11/3/25 through 11/7/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...