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Do a relatively few stocks drive the alphas of many anomalies? In the May 2025 revision of his paper entitled "The Intersection of Expected Returns", Austin Sobotka explores stock overlap among the portfolios of 164 cross-sectional asset pricing ...

Do alternative "Cash" (deemed risk-free) instruments materially affect performance of the "Simple Asset Class ETF Momentum Strategy" (SACEMS)? Changing the proxy for Cash can affect how often the model selects Cash, as well as the return on Cash when ...

Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS) boost performance via consideration of more trending/diversifying options? To investigate, we add the following 24 ETF/ETN asset class ...

Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy (SACEMS) necessary? Might one or more of them actually be harmful to performance? To investigate, we each month rank the nine ...

Below is a weekly summary of our research findings for 8/11/25 through 8/15/25. 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 ...

Do stocks of homebuilders, whose sales are particularly sensitive to interest rate changes, reliably lead the overall stock market? To check, we look at lead-lag relationships between monthly returns for SPDR S&P Homebuilders ETF (XHB) and for SPDR S ...

How should retail investors view funds offering private equity opportunities? In his July 2025 paper entitled "Private Markets for the People? Or Just More People for Private Markets?", Ludovic Phalippou assesses the push to expand private equity ...

Speculator level of interest (attention) is plausibly key to bitcoin price behavior. Does the level of online searching for "bitcoin" as a proxy for attention usefully predict bitcoin return? To investigate, we examine interactions between monthly ...

The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for July 2025. The actual total (core) inflation rate is about the same as (about the same as) forecasted. The post Inflation Forecast Update appeared first ...

Traders can buy and sell bitcoin any day of the week. Do bitcoin returns exhibit anomalies by day of the week, perhaps especially because of weekend trading? To investigate, we calculate (1) average return and return variability for each day of the ...