Recent Investing Research

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.

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.

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

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

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

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

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.

Can autonomous artificial intelligence (Agentic AI), which interprets market dynamics with continuous improvement and specifies resulting trades with minimal human intervention, run an attractive portfolio? In their March 2026 paper entitled “Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI”, Allen Huang and Zheqi Fan employ Agentic AI as a self-directed quantitative… Keep Reading

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading

Is there a way to enhance time series momentum by considering both trend regime and expected risk-adjusted performance during each state? In his March 2026 paper entitled “Rethinking Trend Following: Optimal Regime-Dependent Allocation”, Valeriy Zakamulin describes and tests his optimal regime-dependent allocation (OPT) strategy, which: Determines the trend following regime based on either 2-regime (Bull/Bear)… Keep Reading

A subscriber forwarded the following chart with summary performances of State Street Energy Select Sector SPDR ETF (XLE), State Street Technology Select Sector SPDR ETF (XLK) and an equal-weighted, annually rebalanced combination of the two and encouraged further investigation. The chart indicates that XLE and XLK are materially diversifying since 2020, but the sample is… Keep Reading

Will investors in passive index funds overwhelm the ability of active investors to keep prices near fundamental value? If so, what happens? In their March 2026 paper entitled “A Model for Passive That Breaks the Market”, Michael Green, Hari Krishnan and Stephan Sturm model the impact of passive share on equity market behavior. Their model… Keep Reading