Investing Research Articles

A subscriber asked about the historical experience (distribution of outcomes) of an investor with a 5-year horizon (holding period). To investigate we consider returns for 5-year intervals rolled annually at the end of the year based on: Annual nominal and real total returns for Shiller’s long-run S&P Composite Index during 1871-2024, offering 148 overlapping 5-year… Keep Reading

A subscriber asked about an assertion that bitcoin (BTC) price trend/return predicts return of the S&P 500 Index (SP500). To investigate, we relate BTC returns to SP500 returns at daily, weekly and monthly frequencies. We rationalize the different trading schedules for these two series by excluding BTC trading dates that are not also SP500 trading… Keep Reading

Does the level of, or change in, the annual U.S. federal surplus/deficit systematically influence the U.S. stock market, perhaps by affecting consumption and thereby corporate earnings or by modifying inflation and thereby discount rates? To check, we relate annual stock market returns to the annual surplus/deficit (receipts minus outlays) as a percentage of Gross Domestic… 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. We have updated the Trading Calendar to incorporate data for March 2025.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for April 2025. SACEMS rankings probably will not change by the close. SACEVS allocations are unlikely to change by the close.

Are machine learning predictions for both stock returns and return volatilities attractively exploitable? In their March 2025 paper entitled “Deep Learning of Conditional Volatility and Negative Risk-Return Relation”, Qi Wu, Xing Yan and Wenxuan Ma apply non-linear deep learning models (neural networks of one to five layers) and likelihood estimation to forecast next-month stock returns… Keep Reading

Below is a weekly summary of our research findings for 3/24/25 through 3/28/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

“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 Vesper U.S. Large Cap Short-Term Reversal Strategy ETF (UTRN), designed to track the performance of a portfolio of 25 of the… Keep Reading

The quarterly CFO Survey asks chief financial officers, owner-operators, vice presidents and directors of finance, accountants, controllers, treasurers and others with financial decision-making roles in small to very large companies across all major industries to “rate optimism about the overall U.S. economy on a scale from 0 to 100.” Does the average economic sentiment of… Keep Reading

The “Simple Asset Class ETF Value Strategy” (SACEVS) seeks diversification across a small set of asset class exchanged-traded funds (ETF), plus a monthly tactical edge from potential undervaluation of three risk premiums: Term – monthly difference between the 10-year Constant Maturity U.S. Treasury note (T-note) yield and the 3-month Constant Maturity U.S. Treasury bill (T-bill) yield. Credit – monthly difference between the Moody’s… Keep Reading