How is the growing use of large language models (LLM) in production of academic papers in finance affecting outputs? In their June 2025 paper entitled “Certainly! Generative AI and its Impact on Academic Writing (in...
Can investors safely capture the U.S. stock market volatility risk premium (VRP), the tendency of implied volatility to exceed realized volatility. In their June 2025 paper entitled “The Volatility Edge, A Dual Approach For VIX...
Do the trading activities of especially informed equity and equity option traders predict stock returns? In the June 2025 revision of their paper entitled “An Information Factor: What Are Skilled Investors Buying and Selling?”, Matthew...
Blockchain is a decentralized, secure digital ledger that automatically records transactions across many computers. Each block of data contains a list of transactions, with blocks linked to form a chain. Cryptography ensures integrity and immutability...
A subscriber asked whether behaviors of other asset classes predict those of real estate investment trusts (REIT) as proxied by Vanguard Real Estate Index Fund ETF Shares (VNQ). To investigate, we relate VNQ monthly returns...
Below is a weekly summary of our research findings for 6/30/25 through 7/3/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do private equity funds beat the public equity market, as implied by allocations of large investors such as university endowments, pension funds and sovereign wealth funds? In his June 2025 paper entitled “Apples and Oranges:...
Given the body of research on the outperformance of low-risk stocks, should the equity asset pricing community add a low-volatility factor in standard models of stock returns? In their June 2025 paper entitled “Factoring in...
How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset...
The main criticism of conventional volatility (standard deviation of returns) as a risk metric is that weights deviations above and below the mean equally. But, is volatility still adequate for most investors as an indicator...
Below is a weekly summary of our research findings for 6/23/25 through 6/27/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB US Dollar Index Bullish Fund (UUP) and the exchange-traded fund (ETF) asset class proxies used in the...
Could mutual fund managers achieve performance improvements by “hiring” artificial intelligence (AI) analysts? In their May 2025 working draft entitled “The Shadow Price of ‘Public’ Information”, Ed deHaan, Chanseok Lee, Miao Liu and Suzie Noh estimate...
How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census...
How can investors avoid out-of-sample factor investing strategy failures driven by use of non-causal research methods? In their May 2025 paper entitled “A Protocol for Causal Factor Investing”, Marcos Lopez de Prado and Vincent Zoonekynd...
The middle of the year might be a time for funds to dress their windows and investors to review and revise portfolios. The 4th of July celebration might engender optimism among U.S. investors. Are there...
Below is a weekly summary of our research findings for 6/16/25 through 6/20/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Invest with the Fed?” finds that indexes based on the Invest With the Fed (IFED) stock selection strategy beat reasonable benchmarks. How does that finding translate to investable assets? To investigate, we look at performances...
Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: Invesco S&P...
How does the performance of the U.S. stock market compare to that of the aggregated stock markets in the rest of the world over the long run? Is there alternating leadership? To investigate, we use...
Do funds based on holdings/trades of members of the U.S. Congress and their families beat the market? To investigate, we look at performances of two recently introduced exchange-traded funds (ETF): Unusual Whales Subversive Democratic Trading...
Below is a weekly summary of our research findings for 6/9/25 through 6/13/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How well do the short-term stock picks of publicly available artificial intelligence (AI) platforms perform? To investigate, we asked Grok, ChatGPT, Perplexity, Gemini and Meta AI the following questions on April 20, 2025: Please succinctly...
Should investors, particularly those employing machine learning, prefer complex or simple prediction models? In the May 2025 revision of his paper entitled “Simplified: A Closer Look at the Virtue of Complexity in Return Prediction”, Daniel...
What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their May 2025 paper entitled “Survey: Market Risk Premium and Risk-Free Rate Used for 54 countries in 2025”, Pablo...