Investing Research Articles

Are gold and bitcoin similar assets? In his December 2020 paper entitled “Bitcoin is Exactly Like Gold Except When it Isn’t”, Claude Erb compares and contrasts the following aspects of gold and bitcoin: Inflation hedge – how well an asset tracks some measure of inflation/purchasing power. Store of value – the ability of an asset… Keep Reading

Value investing performance over the past two decades is poor. Is this underperformance a temporary consequence of an unusual macro environment, or a reflection of permanent economic/equity market changes. In their February 2021 paper entitled “Value Investing: Requiem, Rebirth or Reincarnation?”, Bradford Cornell and Aswath Damodaran survey the history and alternative approaches to value investing,… Keep Reading

Below is a weekly summary of our research findings for 2/22/21 through 2/26/21. 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.

Investors seeking low-cost, automated, tax-efficient and potentially alpha-generating solutions increasingly follow model portfolios of exchange-traded funds (ETF). Is there a top-down way to characterize those models? In their November 2020 paper entitled “Using Data Science to Identify ETF Model Followers”, Ananth Madhavan and Aleksander Sobczyk apply machine learning methods and cluster analysis to identify all… Keep Reading

Can diversification across economic states improve portfolio performance? In their November 2020 paper entitled “Investing Through a Macro Factor Lens”, Harald Lohre, Robert Hixon, Jay Raol, Alexander Swade, Hua Tao and Scott Wolle study interactions between three economic “factors” (growth, defensive/U.S. Treasuries and inflation) and portfolio building blocks (asset classes and conventional factor portfolios). Their… Keep Reading

Below is a weekly summary of our research findings for 2/16/21 through 2/19/21. 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.

Below is a weekly summary of our research findings for 2/8/21 through 2/12/21. 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 asked for a performance comparison between 50% Simple Asset Class ETF Value Strategy (SACEVS) Best Value-50% Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted top two (EW Top 2), rebalanced monthly (SACEVS-SACEMS 50-50), and the following monthly rebalanced allocations to three exchange-traded funds (3-ETF): 30% Vanguard Total Stock Market Index Fund (VTI). 30% Vanguard… Keep Reading

Why have so many quantitative funds performed poorly in recent years? In his January 2021 paper entitled “The Quant Crisis of 2018-2020: Cornered by Big Growth”, David Blitz examines in detail recent (June 2018 through August 2020) performance of stock portfolios constructed from five widely accepted long-short factors: Size – Small Minus Big (SMB) market… Keep Reading

Below is a weekly summary of our research findings for 2/1/21 through 2/5/21. 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.