Prior research suggests that machine learning factor models of the cross section of stock returns greatly enhance portfolio performance by: (1) expanding the dataset to include more variables; and, (2) allowing more complex (non-linear) variable...
Below is a weekly summary of our research findings for 12/22/25 through 12/26/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
In response to our inquiry about Goldman Sachs Panic Index data, Grok responded that the data are proprietary and unavailable. However, Grok offered “several high-quality public proxies and near-replicas…built by traders and quants using only...
Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of...
Should measures of long-term investment performance incorporate ways in which typical individual investors handle their portfolios over a lifetime rather than an idealized perspective such as buy-and-hold with all distributions reinvested? In his December 2025...
How should researchers apply and restrict artificial intelligence (AI) in research? In the December 2025 revision of their editorial entitled “The Use of AI in Academic Research”, Gordon Graham and Jennifer Tucker share experiences as...
Below is a weekly summary of our research findings for 12/15/25 through 12/19/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Can Grok extract a useful weekly U.S. stock market sentiment metric from posts on X? To investigate, we ask Grok to each week for two years aggregate weekly U.S. stock market sentiment looking for at...
How sensitive is performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) to choice of momentum calculation lookback interval, and what interval works best? To investigate, we generate gross compound annual growth rates (CAGR) and...
Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P...
How can typical investors/managers rigorously translate their views on factor/style and sector/theme exposures into a portfolio of exchange-traded funds (ETF). In their November 2025 paper entitled “Implementing Systematic Risk Premia, Factor-Based Strategies, and Sector Rotation...
Does lack of liquidity among stocks in anomaly portfolios effectively block exploitation? In their November 2025 paper entitled “Liquidity Constraints and the Illusion of Anomaly Profitability”, Álvaro Cartea, Mihai Cucuringu, Qi Jin and Jiexiu Zhu...
Below is a weekly summary of our research findings for 12/8/25 through 12/12/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is U.S. equity market valuation outrunning its productive value? For perspective, we compare the trajectories of S&P 500 (SP500) index, earnings and dividends over recent decades and look at some potential explanations for divergences. Using...
The equity premium is conventionally the return on stocks minus the risk-free rate (for short-term government bills). What should be the risk-free asset for equities, arguably expected to grow in real terms and never to...
Is systematically selling cash-covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six equity put-write ETFs, three dead and three living: US Equity High Volatility Put Write (HVPW) – oriented...
How is the increasing role of interacting algorithms changing financial markets? In his November 2025 paper entitled “Algorithmic Exuberance”, Marc Schmitt presents an Algorithmic Exuberance model, which automatically stimulates market volatility from two coupled feedback...
How material is the rebalance timing luck (RTL) induced by picking a trading day to reform a monthly stock momentum strategy? Is there a way to manage the risk of bad luck? In their November...
Below is a weekly summary of our research findings for 12/1/25 through 12/5/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
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...
“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...
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...
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...
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...
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...