Do active investment managers as a group successfully time the stock market? The National Association of Active Investment Managers (NAAIM) is an association of registered investment advisors. “NAAIM member firms who are active money managers are asked...
Below is a weekly summary of our research findings for 8/4/25 through 8/8/25. 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 profitably trade the effects of leveraged and inverse exchange-traded funds (LETF) share creation and redemption on prices? In his July 2025 paper entitled “Am I the Patsy? LETF Issuance is Signal, Not Noise:...
How do stocks of gold miners perform compared to gold itself? In their July 2025 paper entitled “Gold Shares Underperform Gold Bullion”, Dirk Baur, Lichoo Tay and Allan Trench examine the performance of gold miners...
How do hedge fund managers think about fundamental analysis versus technical analysis in managing their stock portfolios? In his July 2025 paper entitled “Portfolio Construction: Blending Fundamental and Technical Analysis”, Gregory Blotnick describes the interplay...
Can investors rely upon general-purpose Artificial Intelligence (AI) to tackle the complex data science problems of investment analysis? In his July 2025 presentation package entitled “AI Challenges in Mathematical Investing”, Marcos Lopez de Prado addresses...
Does asymmetry in the design/performances of leveraged and inverse exchange-traded products create a reliable edge? In his July 2025 paper entitled “Deception by Design: Leveraged ETFs, Structural Fraud, and Proof of Outperformance”, Rob Bezdjian analyzes...
Below is a weekly summary of our research findings for 7/28/25 through 8/1/25. 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 U.S. stock market, as proxied by the S&P 500 Index (SP500) exhibit much variability in intra-month behaviors by calendar month? To investigate, we compare average daily cumulative SP500 returns across calendar months. Using...
What happens if we add bitcoin, as proxied by Grayscale Bitcoin Trust ETF (GBTC), to the asset universe for the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month holds the top one (Top...
Is conventional wisdom that aggregate retail investor sentiment is a contrary indicator of future stock market return correct? To investigate, we examine the sentiment expressed by members of the American Association of Individual Investors (AAII)...
“Stock Size and Excess Stock Portfolio Growth” finds that an equal-weighted portfolio of the (each day) 1,000 largest U.S. stocks beats its market capitalization-weighted counterpart by about 2% per year. However, the underlying research does...
In times of economic uncertainty, traditional safe haven assets (bonds and gold) have often failed. Is there a more robust safe haven approach? In his July 2025 paper entitled “Defense First: A Multi-Asset Tactical Model...
Below is a weekly summary of our research findings for 7/21/25 through 7/25/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Why not select and weight stocks in a growth portfolio using only firm growth fundamentals rather than variables that depend on stock price? In their July 2025 paper entitled “Fundamental Growth”, Robert Arnott, Chris Brightman,...
The value of holdings in passive (capitalization-weighted, index tracking) U.S. equity funds now exceeds that in active U.S. equity funds. In their May 2025 paper entitled “Passive Aggressive: The Risks of Passive Investing Dominance”, Chris...
Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of eight ESG ETFs, all currently available, to those of simple...
Do term structures of commodity futures contract series shift in an exploitably predictable way? In their May 2025 paper entitled “Short-Term Basis Reversal”, Alberto Rossi, Yingguang Zhang and Yandi Zhu examine relationships between the return...
Is aggregate net U.S. public company stock buyback activity a useful predictor of U.S. stock market return? To investigate, we relate the quarterly FRED Security Repurchase Agreements; Nonfinancial Corporate Business series (buybacks) to quarterly S&P...
Below is a weekly summary of our research findings for 7/14/25 through 7/18/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is U.S. equity factor return momentum broader and stronger for a short momentum measurement lookback interval than for a long one? In their July 2025 paper entitled “Revisiting Factor Momentum: A One-month Lag Perspective”, Mikael...
The four iShares Core Asset Allocation exchange-traded funds (ETF) offer exposures to U.S. stocks, global stocks and bonds semiannually rebalanced to fixed weights, as follows. iShares Core Conservative Allocation (AOK) – 30% stocks and 70%...
Do S&P 500 earnings growth rates predict S&P 500 Index (SP500) returns? To investigate, we relate actual 12-month SP500 operating earnings growth rate and as-reported earnings growth rate measured quarterly to SP500 quarterly return. We...
To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting,...
Below is a weekly summary of our research findings for 7/7/25 through 7/11/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...