Should investors seeking to exploit both value and momentum factors in U.S. stocks prefer two separate portfolios or one that integrates stock selection? In his February 2026 paper entitled “Don’t Mix What Should Be Separated: Why Combining Value and Momentum Signals Destroys Alpha”, Carlos Morales compares: A combined ranking method, integrating value and momentum signals…
Recent Investing Research
Economic Indicators, Equity Premium
Expert Estimates of 2026 Country Equity Risk Premiums and Risk-free Rates
What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their April 2026 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 97 countries in 2026”, Pablo Fernandez, Amir Habibian and Lucia Acin summarize results of a March-April 2026 email survey of international finance and economic professors,… Keep Reading
Big Ideas, Investing Expertise
Do LLM Outages Affect the Stock Market?
Is growing investor/trader use of large language models (LLM) extinguishing known stock return anomalies? In their March 2026 paper entitled “Do LLMs Make Markets More Efficient?”, Runjing Lu, Yongxin Xu and Luka Vulicevic examine how use of LLMs is affecting reactions of individual stocks to recent newsworthy events with and without outages of LLMs from… Keep Reading
Sentiment Indicators
How Are Sentiment-driven ETFs Doing?
Do exchange-traded funds (ETF) designed to exploit sentiment indicators beat the market? To investigate, we consider three such ETFs, all currently available, as follows: VanEck Social Sentiment ETF (BUZZ) – invests in common stocks of U.S. companies with the most “positive insights” collected from online sources including social media, news articles, blog posts and other… Keep Reading
Miscellaneous
Weekly Summary of Research Findings: 4/27/26 – 5/1/26
Below is a weekly summary of our research findings for 4/27/26 through 5/1/26. 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.
Individual Investing, Investing Expertise
LLMs as Financial Advisors for Individuals
Are large language models (LLM) robust financial advisors for individuals? In their March 2026 paper entitled “AI Financial Advice: Supply, Demand, and Life Cycle Implications”, Taha Choukhmane, Tim de Silva, Weidong Lin and Matthew Akuzawa examine the personal financial advice from LLMs. They mainly use GPT-5.2 but repeat analyses using Gemini 3 Flash as a… Keep Reading
Calendar Effects, Momentum Investing, Strategic Allocation
SACEMS, SACEVS and Trading Calendar Updates
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 April 2026.
Fundamental Valuation, Momentum Investing, Strategic Allocation
Preliminary SACEMS and SACEVS Allocation Updates
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for May 2026. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.
Equity Premium, Volatility Effects
Do Tail Risk ETFs Work?
What are the costs of mitigating tail risk via exchange-traded funds (ETF) designed to manage it? To investigate, we consider seven such ETFs, three dead and four live, as follows: VelocityShares Tail Risk Hedged Large Cap ETF (TRSK) – hedges against tail risk by allocating 85% (15%) of assets to ETFs that track the S&P… Keep Reading
Big Ideas
False Discovery Iceberg in Finance Research?
Recent studies, based on the distribution of reported in-sample test statistics, find that publication bias in finance is modest and that most published factors are true discoveries. What about unreported testing performed during the factor discovery process? In the April 2026 revision of their paper entitled “The False Discovery Rate in Finance: Identification Failure and… Keep Reading
Investing Expertise
Epitome of Trading Expertise?
How strongly do profits concentrate among winners in zero-sum prediction market trading? In their March 2026 paper entitled “Who Wins and Who Loses In Prediction Markets? Evidence from Polymarket”, Pat Akey, Vincent Grégoire, Nicolas Harvie and Charles Martineau examine trading profits and losses on Polymarket, the world’s largest prediction market, to measure: Profit concentration. The… Keep Reading
Value Premium
Measuring the Value Premium with Value and Growth ETFs
Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth) for each of the following three matched pairs of value-growth ETFs: iShares Russell 2000 Growth ETF (IWO) iShares Russell 2000 Value ETF (IWN) iShares Russell Mid-Cap Growth ETF (IWP) iShares Russell Mid-Cap… Keep Reading
Miscellaneous
Weekly Summary of Research Findings: 4/20/26 – 4/24/26
Below is a weekly summary of our research findings for 4/20/26 through 4/24/26. 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.