Investing Research Articles

Different risk metrics capture different aspects of risk, and the relative importance of different aspects of risk varies across investors. Widely used risk metrics do not serve the interests of long-term investors because they destroy price series history. Is there a better risk metric for such investors? In the October 2025 draft of their paper… 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 October 2025.

Below is a weekly summary of our research findings for 10/27/25 through 10/31/25. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for November 2025. SACEMS rankings are unlikely to  change by the close. SACEVS allocations are unlikely to change by the close.

What are the essential investment features of crypto-assets? In their October 2025 paper entitled “Cryptocurrency as an Investable Asset Class: Coming of Age”, Nicola Borri, Yukun Liu, Aleh Tsyvinski and Xi Wu synthesize the rapidly growing body of research on crypto-assets into 10 statements summarizing how they behave in aggregate as an asset class, how… Keep Reading

Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad) for future consumption and stocks. The release schedule for this indicator is mid-month for a preliminary reading on the current… Keep Reading

Can machine learning exploit many stock similarity factors to produce exceptional statistical arbitrage (pairs trading) performance? In their August 2025 paper entitled “Attention Factors for Statistical Arbitrage”, Elliot Epstein, Rose Wang, Jaewon Choi and Markus Pelger present the Attention Factor Model, which employs machine learning to: Identify similar stocks based on both past returns and… Keep Reading

Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end of the calendar year for the Russell 2000 Index, the S&P 500 Index and the Dow Jones Industrial Average (DJIA)… Keep Reading

What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following ten asset class exchange-traded funds (ETF), plus Cash: Invesco DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index (EEM) iShares JPMorgan Emerging Markets Bond Fund (EMB) iShares… Keep Reading

Below is a weekly summary of our research findings for 10/20/25 through 10/24/25. 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.