A reader requested a test of the following hypothesis from the article “Gold’s Bluff – Is a 30 Percent Drop Next?” [no longer available]: “Ironically, gold is more than just a hedge against market turmoil. Gold is actually...
Does bitcoin (BTC) price reliably exhibit momentum or reversion? To investigate, we try three tests: Calculate autocorrelations (serial correlations) between daily, weekly and monthly BTC returns and respective BTC returns for the next 10 intervals...
Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund rebalancing/reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact...
A subscriber requested confirmation of the following relationship between U.S. M2 Money Stock and gold offered in “Why Gold May Be Looking Cheap”: “[O]ne measure I’ve found useful is the ratio of the price of...
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...
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...
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...
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)...
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...
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...
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:...
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...
Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI)...
How should investors think about the risks and returns of music royalties, which have become transparent in the streaming era, as an asset class? In their September 2025 paper entitled “Music as an Asset Class”,...
The Sharpe ratio is the most widely used measure of investment efficiency. Is it truly reliable? In their September 2025 paper entitled “How to Use the Sharpe Ratio”, Marcos Lopez de Prado, Alexander Lipton and...
How do exchange-traded-funds (ETF) focused on supplying renewable energy perform? To investigate, we consider nine of the largest renewable energy ETFs, all currently available, as follows: iShares Global Clean Energy (ICLN) Invesco Solar (TAN) First...
Will bitcoin replace gold as the pre-eminent safe haven asset? In his September 2025 paper entitled “Gold and Bitcoin”, Campbell Harvey compares and contrasts bitcoin and gold as alternative safe haven assets. Based on gold...
Below is a weekly summary of our research findings for 10/13/25 through 10/17/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Where is gold price going? In their September 2025 paper entitled “Understanding Gold”, Claude Erb and Campbell Harvey examine the investment characteristics of gold, its reliability as a hedging asset and the reasons why gold...
Conventional wisdom holds that a steep yield curve (wide U.S. Treasuries term spread) is good for stocks, while a flat/inverted curve is bad. Is this wisdom correct and exploitable? To investigate, we consider in-sample tests...
Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by...
Do exchange-traded funds (ETF) that seek to mimic holdings of top-ranked hedge funds, firm insiders or other investing gurus offer attractive performance? To investigate, we consider nine ETFs, five live and four dead, in order...
Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following nine asset...
Below is a weekly summary of our research findings for 10/6/25 through 10/10/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month (TOTM) returns for the...