Is it reasonable to assume that strong earnings growth and price-to-earnings ratio (P/E) expansion will sustain the unusually strong U.S. stock market returns of the past decade? In his brief September 2025 paper entitled “Expected...
Are there any experts who can reliably predict stock market returns? In their September 2025 paper entitled “Beliefs and Stock Market Fluctuations: New Evidence from the Past Seven Decades”, David Thesmar and Emil Verner assemble...
How can investors and fund managers best exploit premiums associated with value, momentum, profitability, investment and low volatility factors, either to generate absolute return or to beat a market benchmark? In his September 2025 paper...
Since January 2010, the ADP National Employment Report, in collaboration with the Stanford Digital Economy Lab, has published a monthly estimate of U.S. nonfarm private sector employment using actual payroll data. “The ADP National Employment...
Below is a weekly summary of our research findings for 9/29/25 through 10/3/25. 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 life lessons from one of the leading researchers in finance? In the August 2025 transcript of his interview entitled “My Life in Finance in 12 Questions”, Campbell Harvey offers the following notable points...
The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending components. BEA releases...
Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute: Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by...
Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations...
“Compendium of Live ETF Factor/Niche Premium Capture Tests” summarizes results for its eponymous title. Here we add a live test of the short-term reversal effect among U.S. stocks. Specifically, we examine the performance of the...
Below is a weekly summary of our research findings for 9/22/25 through 9/26/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is relevant news sentiment from other countries additive to local news in predicting country stock market returns? In their August 2025 paper entitled “Global News Networks and Return Predictability”, Gustavo Freire, Ali Moin, Alberto Quaini...
Is the part of the return/alpha of a equity factor that is not associated with simple changes in factor valuation (ratio of long side average price-to-book value ratio to short side average price-to-book value ratio)...
Does alignment of return-based factors with informed traders and against noise traders produce a superior model of stock returns? In his August 2025 paper entitled “An Auto-Residual Factor Model”, Malek Alkshaik introduces and tests a...
Should investors relish opportunities to invest in private equity? In his July 2025 paper entitled “The Private Equity Illusion: Revisiting Risks, Returns, and Realities”, Simon Nocera analyzes the narrative that private equity is a superior...
Does the ICE BofAML MOVE Index, the implied volatility of U.S. Treasuries as derived from options on U.S. Treasuries with maturities 2, 5, 10 and 30 years, usefully predict U.S. stock market and U.S. Treasury...
Below is a weekly summary of our research findings for 9/15/25 through 9/19/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are hedge fund-oriented strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider 10 ETFs, five live and five dead (in order of inception dates): NYLI Hedge Multi-Strategy Tracker ETF (QAI) – seeks...
Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising...
Can investors exploit the uneven playing field of leveraged and inverse exchange-traded fund (LETF) share creation and redemption? In his August 2025 paper entitled “Leveraged ETF Issuance During Market Stress and the Mechanics of Profit:...
What variables drive differences in price-to-earnings ratios (P/E) across U.S. stocks? In the September 2025 revision of their paper entitled “The Cross-section of Subjective Expectations: Understanding Prices and Anomalies”, Ricardo Delao, Xiao Han and Sean...
Are equity multifactor strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight multifactor ETFs, all currently available: iShares Edge MSCI Multifactor USA (LRGF) – holds large and mid-cap U.S. stocks with...
Below is a weekly summary of our research findings for 9/8/25 through 9/12/25. 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 lead-lag relationship between S&P 500 earnings and S&P 500 Index returns. To investigate, we relate actual aggregate S&P 500 operating and as-reported earnings to S&P 500 Index returns at both...
Are preferred stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider seven of the largest preferred stock ETFs, all currently available, in order of longest to shortest available histories: Invesco Financial...