Investing Research Articles

Can investors rely on price/return momentum as an eternal strategy foundation? In their August 2025 paper entitled “Momentum Factor Investing: Evidence and Evolution”, flagged by a subscriber, Bart van Vliet, Guido Baltussen, Sipke Dom and Milan Vidojevic review the evolution of momentum in the literature and examine momentum factor robustness over a long sample period…. Keep Reading

“Developed Country Stock Index Momentum?” summarizes a short paper finding that  MSCI developed country stock market indexes may exhibit exploitable momentum since 1970. However, indexes do not include costs of maintaining index-tracking funds, and the availability of such funds may induce market adaptation. Does the specified strategy work for exchange-traded funds (ETF) designed to track the selected… Keep Reading

Is there an easy, low-frictions way to implement an attractive momentum strategy at the country market level? In his short October 2025 paper entitled “The Lazy Man’s Momentum Strategy”, flagged by a subscriber, Javier Estrada tests a “lazy” momentum strategy that every six months at the ends of June and December: Ranks developed country stock… Keep Reading

Does bitcoin now behave like a conventional financial asset? In their short November 2025 paper entitled “From Time-Series Momentum to Size-Factor Comovement: Bitcoin’s Continuing Evolution as a Financial Asset”, Samuel Rosen and Hongcheng Wang investigate the evolution of bitcoin. Specifically, they: Perform autoregressions of weekly bitcoin returns to evaluate time-series momentum at horizons of one… Keep Reading

Can a large language model (LLM) applied to social media data catalog the strategy choices, sentiment and trading behavior of retail investors? In the November 2025 revision of their paper entitled “Wisdom or Whims? Decoding Retail Strategies with Social Media and AI”, Shuaiyu Chen, Lin Peng and Dexin Zhou apply GPT-4 Turbo and BERT to… Keep Reading

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 November 2025.

Below is a weekly summary of our research findings for 11/24/25 through 11/28/25. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for December 2025. SACEMS rankings are very close for ranks 3 and 4, which could flip by the close. SACEVS allocations are unlikely to change by the close.

“Nixed: The Upside of Getting Dumped”, flagged by a subscriber, finds that “index deletions…could add an abnormal upside to a portfolio when the current growth-dominated bubble starts to deflate.” The authors have quantified findings as the Research Affiliates Deletions Index (NIXT), constructed by: Starting with deletions due to market capitalization changes from the 500 and… Keep Reading

How do exchange-traded-funds (ETF) focused on Treasury Inflation-Protected Securities (TIPS) perform? To investigate, we consider ten of the largest TIP ETFs, all currently available, as follows: iShares TIPS (TIP) Schwab U.S. TIPS (SCHP) Vanguard Short-Term Inflation-Protected Securities (VTIP) iShares 0-5 Year TIPS (STIP) SPDR Portfolio TIPS (SPIP) FlexShares iBoxx 3-Year Target Duration TIPS Index (TDTT)… Keep Reading