Recent Investing Research

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for April 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Are machine learning predictions for both stock returns and return volatilities attractively exploitable? In their March 2025 paper entitled “Deep Learning of Conditional Volatility and Negative Risk-Return Relation”, Qi Wu, Xing Yan and Wenxuan Ma apply non-linear deep learning models (neural networks of one to five layers) and likelihood estimation to forecast next-month stock returns… Keep Reading

Below is a weekly summary of our research findings for 3/24/25 through 3/28/25. 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.

“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 Vesper U.S. Large Cap Short-Term Reversal Strategy ETF (UTRN), designed to track the performance of a portfolio of 25 of the… Keep Reading

The quarterly CFO Survey asks chief financial officers, owner-operators, vice presidents and directors of finance, accountants, controllers, treasurers and others with financial decision-making roles in small to very large companies across all major industries to “rate optimism about the overall U.S. economy on a scale from 0 to 100.” Does the average economic sentiment of… Keep Reading

The “Simple Asset Class ETF Value Strategy” (SACEVS) seeks diversification across a small set of asset class exchanged-traded funds (ETF), plus a monthly tactical edge from potential undervaluation of three risk premiums: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield and the 3-month Constant Maturity U.S. Treasury bill (T-bill) yield. Credit – monthly difference between the Moody’s… Keep Reading

In response to “Shorting VXX with Crash Protection”, which investigates shorting iPath S&P 500 VIX Short-Term Futures (VXX) to capture the equity volatility risk premium, a subscriber asked about instead using a long position in ProShares Short VIX Short-Term Futures (SVXY). To investigate, we consider two scenarios based on monthly measurements: Buy and Hold –… Keep Reading

Does the M2 measure of money supply reliably drive bitcoin and/or gold prices at a monthly horizon? To investigate we relate monthly change in M2 to future monthly bitcoin and SPDR Gold Shares (GLD) returns. Using monthly data for M2, bitcoin and GLD from September 2014 (inception of bitcoin price series) through February 2025, we… Keep Reading

Below is a weekly summary of our research findings for 3/17/25 through 3/21/25. 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.

A buffer exchange-traded fund (ETF) is designed to limit losses while capping gains over a specific period, usually one year, generally by combining a position in put and call options on a stock index with an ETF that tracks that index. Laddered buffer ETFs smooth this approach by holding a rolling series of buffer ETFs… Keep Reading