Investing Research Articles

Below is a weekly summary of our research findings for 12/30/24 through 1/3/25. 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.

Experimental (researcher-imagined) asset markets provide a controlled environment for testing hypotheses about investor behaviors. Do limits on abilities of researchers to model markets realistically, and researcher incentives/motivations, jeopardize the credibility of associated studies? In their December 2024 paper entitled “Do Experimental Asset Market Results Replicate? High-powered Preregistered Replications of 17 Claims”, Christoph Huber, Felix Holzmeister,… Keep Reading

How can investors best apply the available array of Large Language Models (LLM) in quantitative strategy development? In his December 2024 paper entitled “The LLM Quant Revolution: From ChatGPT to Wall Street”, William Mann summarizes the use of LLMs in quantitative finance, focusing on: the current state of LLM technology in financial applications; comparison of… Keep Reading

We have updated monthly allocations and performance data for the Simple Asset Class ETF Momentum Strategy (SACEMS) and the Simple Asset Class ETF Value Strategy (SACEVS). We have also updated performance data for the Combined Value-Momentum Strategy. SACEMS first and second places this month are so close that post-close ETF price adjustments could affect them…. Keep Reading

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for January 2025. SACEMS rankings are close and could change by the close, especially third place. SACEVS allocations are unlikely to change by the early close.

How well have popular stock screens worked over the long term and since 2000? In their December 2024 paper entitled “Formula Investing”, Marcel Schwartz and Matthias Hanauer test four popular stock screening formulas with a common portfolio framework over a long period. These formulas focus on certain firm/stock characteristics, implicitly or explicitly translating stock market… Keep Reading

How can cross-currency equity investors best approach hedging the associated currency exchange risk? In their December 2024 paper entitled “The Best Strategies for FX Hedging”, Pedro Castro, Carl Hamill, John Harber, Campbell Harvey and Otto Van Hemert analyze pair-wise dynamic currency exchange risk hedging strategies for global equity markets based on three widely accepted exchange… Keep Reading

Below is a weekly summary of our research findings for 12/23/24 through 12/27/24. 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.

“Predicting Stock Market Return with Stocks-TIPS Yield Delta” summarizes results of a study finding that deviations of the S&P 500 earnings yield from the real government bond yield, as measured by the 10-year Treasury Inflation-Protected Securities (TIPS) coupon yield, has statistical power to predict future stock market returns. To corroborate this finding from an investing… Keep Reading

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 the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily… Keep Reading