Investing Research Articles

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...

“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...

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...

Do analysts/investors predictably and exploitably misinterpret tones of earnings calls? In their October 2025 paper entitled “Do Investors Get It Right? Reaction Bias to Earnings Calls”, Zhenzhen Fan and Fred Liu study interactions between textual...

Do informed put option buyers predict overall U.S. stock market returns? In her November 2025 paper entitled “Put Option Trading Efficiency”, Xiaolin Huo constructs a monthly Put Option Trading Efficiency (POTE) variable to measure the...

Below is a weekly summary of our research findings for 11/17/25 through 11/21/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...

Does the Thanksgiving holiday, a time of families celebrating plenty, 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 500 Index...

How do exchange-traded-funds (ETF) that employ artificial intelligence (AI) to pick assets perform? To investigate, we consider ten such ETFs, eight of which are currently available: Amplify AI Powered Equity ETF (AIEQ) – picks U.S....

A subscriber suggested review of The Book of Alternative Data: A Guide for Investors, Traders, and Risk Managers , a 2020 book by Alexander Denev and Saeed Amen. In this book, the authors address “the...

A subscriber asked about the relationship between Berkshire Hathaway cash position and S&P 500 Index returns. To investigate, we: Located annual “Berkshire Hathaway (BRK-B) – Cash on Hand” data as a baseline cash pile. Asked...