Investing Research Articles

The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending components. BEA releases advance, preliminary and final data about one, two and three months after quarter ends, respectively. Do these estimates of economic… Keep Reading

Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute: Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by 10 days (-10) to ETF return leads BTC return by 10 days (10). Pearson correlations between monthly ETH return and… Keep Reading

Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations of the two strategies, rebalanced monthly: 50-50 Best Value – EW Top 2: SACEVS Best Value paired with SACEMS Equally… Keep Reading

“Compendium of Live ETF Factor/Niche Premium Capture Tests” summarizes results for its eponymous title. Here we add a live test of the short-term reversal effect among U.S. stocks. Specifically, we examine the performance of the now dead Vesper U.S. Large Cap Short-Term Reversal Strategy ETF (UTRN), designed to track the performance of a portfolio of… Keep Reading

Below is a weekly summary of our research findings for 9/22/25 through 9/26/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Is relevant news sentiment from other countries additive to local news in predicting country stock market returns? In their August 2025 paper entitled “Global News Networks and Return Predictability”, Gustavo Freire, Ali Moin, Alberto Quaini and Amar Soebhag compare the effects of local versus global news sentiment, organized into 260 major themes, on country stock… Keep Reading

Is the part of the return/alpha of a equity factor that is not associated with simple changes in factor valuation (ratio of long side average price-to-book value ratio to short side average price-to-book value ratio) especially predictive of future factor returns? In their September 2025 paper entitled “Revaluation Alpha”, Robert Arnott, Sina Ehsani, Campbell Harvey… Keep Reading

Does alignment of return-based factors with informed traders and against noise traders produce a superior model of stock returns? In his August 2025 paper entitled “An Auto-Residual Factor Model”, Malek Alkshaik introduces and tests a 5-factor Auto-Residual Factor Model of stock returns comprised of: market excess return; market capitalization (size); residual short-term reversal (last month);… Keep Reading

Should investors relish opportunities to invest in private equity? In his July 2025 paper entitled “The Private Equity Illusion: Revisiting Risks, Returns, and Realities”, Simon Nocera analyzes the narrative that private equity is a superior asset class that delivers higher returns at lower risk than, and diversifies, public equity markets. Using investment industry data, academic… Keep Reading

Does the ICE BofAML MOVE Index, the implied volatility of U.S. Treasuries as derived from options on U.S. Treasuries with maturities 2, 5, 10 and 30 years, usefully predict U.S. stock market and U.S. Treasury bond returns? To investigate, we perform two sets of calculations using SPDR S&P 500 ETF (SPY) as a proxy for… Keep Reading