April 23, 2025 - Value Premium
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
April 22, 2025 - Investing Expertise
Is the ability of artificial intelligence (AI) platforms such as ChatGPT to summarize and interpret large volumes of financial data altering investor trading behaviors and thereby changing financial markets? In the April 2025 revision of their paper entitled “ChatGPT and the Stock Market”, Jenny Stanco and Kee Chung examine the impact of ChatGPT on stock… Keep Reading
April 21, 2025 - Equity Premium
Do exchange-traded funds (ETF) designed to make private equity available to individual investors beat the market? To investigate, we consider five ETFs, as follows: Invesco Global Listed Private Equity ETF (PSP) – invests in 40 to 75 private equity companies, including business development companies, master limited partnerships, alternative asset managers and other entities that are… Keep Reading
April 17, 2025 - Miscellaneous
Below is a weekly summary of our research findings for 4/14/25 through 4/17/25. 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.
April 17, 2025 - Equity Premium, Strategic Allocation
Subscribers asked whether substituting Invesco QQQ Trust (QQQ) for SPDR S&P 500 (SPY) in the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) improves outcomes. To investigate, we substitute monthly QQQ dividend-adjusted returns for SPY dividend-adjusted returns in the two model strategies. We then compare the modified… Keep Reading
April 16, 2025 - Bonds, Currency Trading, Momentum Investing, Value Premium
The performance of conventional factor portfolios, long and short extreme quantiles of assets sorted on the factor metric, faces considerable skepticism (see “Compendium of Live ETF Factor/Niche Premium Capture Tests”). Is their some more surgical way to capture theoretical factor premiums? In their March 2025 paper entitled “Investment Base Pairs”, Christian Goulding and Campbell Harvey… Keep Reading
April 15, 2025 - Sentiment Indicators
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
April 14, 2025 - Calendar Effects
Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index before and after the holiday. Using daily closing levels of the S&P 500 index for 1950-2024 (75 events), we find… Keep Reading
April 11, 2025 - Miscellaneous
Below is a weekly summary of our research findings for 4/7/25 through 4/11/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.
April 11, 2025 - Currency Trading
What is the state of bitcoin exchange-traded products (ETP)? In the March 2025 update of his brief paper entitled “One Year of Bitcoin Spot ETPs: A Brief Market and Fund Flow Analysis”, Nico Oefele analyzes dynamics of the bitcoin spot ETP marketplace, focusing on assets under management (AUM), net fund flows and key drivers of… Keep Reading