Investing Research Articles

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

In the spirit of “Complete Finance Research by LLMs?” and “Mimicking Economic Expertise with LLMs”, we have begun succinctly polling some publicly available large language models (LLM) on various aspects of economics/finance and posting results on our X feed. Some of these polls complement research findings here.

Do leveraged exchange-traded funds (LETF) with daily leverage resets reliably fall behind portfolios with the same initial leverage but no resets? In his February 2025 paper entitled “Multi-day Return Properties of Leveraged Index ETFs”, Baolian Wang compares the multi-day return properties of leveraged, daily reset LETFs to those of matched initial leverage positions with no… Keep Reading

Does economic history rhyme in that similar economic/financial conditions precede similar equity factor performance? In their March 2025 paper entitled “Regimes”, Amara Mulliner, Campbell Harvey, Chao Xia, Ed Fang and Otto Van Hemert present a way to characterize the current economic/financial regime and relate this characterization to future factor returns. They consider seven input variables:… Keep Reading

Can investors use leveraged exchange-traded funds (ETF) to construct attractive versions of simple 60%/40% (60/40) and 40%/60% (40/60) stocks-bonds portfolios? In their March 2020 presentation package entitled “Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance”, flagged by a subscriber, Mikhail Smirnov and Alexander Smirnov consider several variations of classic stocks/bonds portfolios implemented… Keep Reading

Every review and analysis, including updates of items in “Compendium of Live ETF Factor/Niche Premium Capture Tests”, brings to mind… Wherefrom data snooping bias? Data that involve considerable randomness (luck to be discovered). Brute force experimentation with samples/sample periods, model formulas and model parameter values (finding the luck). Reusing and tweaking models and parameter values… Keep Reading