Investing Research Articles

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

Below is a weekly summary of our research findings for 3/10/25 through 3/14/25. 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 subscriber suggested adding U.S. large-capitalization growth and value funds to the asset class proxy universe in the Simple Asset Class ETF Momentum Strategy (SACEMS) to capture associated growth and value streakiness. To investigate, we select Vanguard Growth Index Fund ETF Shares (VUG) and Vanguard Value Index Fund ETF Shares (VTV) as growth and value… Keep Reading

Are all stocks except U.S. growth cheap? In his brief February 2025 paper entitled “Decomposing Equity Returns: Earnings Growth vs. Multiple Expansion”, David Blitz decomposes equity returns of different global equity markets and styles (size, low-volatility, value) into dividend yield, earnings growth and multiple expansion. The decomposition consists of: Subtracting price return from total return… Keep Reading

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for February 2025. The actual total (core) inflation rate is a little lower than (a little lower than) forecasted.

Are correlations and R-squared statistics sufficient to discover reliable connections between financial/economic variables and future asset returns? In their February 2025 paper entitled “Causal Factor Analysis is a Necessary Condition for Investment Efficiency”, Marcos Lopez de Prado, Alexander Lipton and Vincent Zoonekynd assess the consequences of factor model misspecification for portfolio optimization (maximizing expected return… Keep Reading

Has concentration of world equity market capitalization in a few technology megacaps disrupted factor investing? In his short February 2025 paper entitled “Implications of Increased Index Concentration for Active Investors”, David Blitz examines implications of the rise of megacap technology stocks for factor portfolio management. He first considers strategies that focus on capturing a single… Keep Reading

Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the current state of and prospects for the U.S…. Keep Reading