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...
Can insights inferred from real-time financial news by large language models (LLM) such as ChatGPT 4.0 mini enhance a conventional stock momentum strategy? In their October 2025 paper entitled “ChatGPT in Systematic Investing – Enhancing...
Below is a weekly summary of our research findings for 11/10/25 through 11/14/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked about the performance of a 50-50 combination of a basket of momentum stock exchange-traded funds (ETF) and a basket of quality stock ETFs, specifically with comparison to a 50-50 combination of the...
Are stock quality strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six ETFs, all currently available (from oldest to youngest): Invesco S&P 500 Quality ETF (SPHQ) – seeks to track performance...
Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider nine momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories: Invesco Dorsey Wright...
Does P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) usefully predict U.S. stock market returns? Per Robert Shiller’s data, P/E10 is inflation-adjusted S&P Composite Index level divided by average monthly inflation-adjusted 12-month trailing earnings of index companies over the last...
A subscriber asked about the track record of Steven Cress, VP of Quantitative Strategy and Market Data at Seeking Alpha. To investigate, we search for his annual top 10 stock lists, with results as follows:...
Below is a weekly summary of our research findings for 11/3/25 through 11/7/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A reader requested a test of the following hypothesis from the article “Gold’s Bluff – Is a 30 Percent Drop Next?” [no longer available]: “Ironically, gold is more than just a hedge against market turmoil. Gold is actually...
Does bitcoin (BTC) price reliably exhibit momentum or reversion? To investigate, we try three tests: Calculate autocorrelations (serial correlations) between daily, weekly and monthly BTC returns and respective BTC returns for the next 10 intervals...
Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund rebalancing/reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact...
A subscriber requested confirmation of the following relationship between U.S. M2 Money Stock and gold offered in “Why Gold May Be Looking Cheap”: “[O]ne measure I’ve found useful is the ratio of the price of...
Different risk metrics capture different aspects of risk, and the relative importance of different aspects of risk varies across investors. Widely used risk metrics do not serve the interests of long-term investors because they destroy...
Below is a weekly summary of our research findings for 10/27/25 through 10/31/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are the essential investment features of crypto-assets? In their October 2025 paper entitled “Cryptocurrency as an Investable Asset Class: Coming of Age”, Nicola Borri, Yukun Liu, Aleh Tsyvinski and Xi Wu synthesize the rapidly...
Business media and expert commentators sometimes cite the monthly University of Michigan Consumer Sentiment Index as an indicator of U.S. economic and stock market health, generally interpreting a jump (drop) in sentiment as good (bad)...
Can machine learning exploit many stock similarity factors to produce exceptional statistical arbitrage (pairs trading) performance? In their August 2025 paper entitled “Attention Factors for Statistical Arbitrage”, Elliot Epstein, Rose Wang, Jaewon Choi and Markus...
Is there a reliable and material market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end...
What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following ten asset class exchange-traded funds (ETF), plus Cash:...
Below is a weekly summary of our research findings for 10/20/25 through 10/24/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI)...
How should investors think about the risks and returns of music royalties, which have become transparent in the streaming era, as an asset class? In their September 2025 paper entitled “Music as an Asset Class”,...