Get Started

Timing Value vs. Growth: Evidence from 100 Years of Small Value–Large Growth Spread

March 18, 2026

The goal of our article is to examine the long-term relationship between small value and large growth stocks using more than 100 years of data and test whether the spread between small value and large growth portfolios shows trends that could help investors switch between the two styles. Using the Fama and French 2×3 and 5×5 size and book-to-market portfolios, we construct the small value minus large growth (SV–LG) spread and apply simple trend-following signals based on moving averages and momentum with horizons ranging from 3 to 12 months. Our results show that trend-following strategies are able to capture part of the value outperformance on the long side. Timing periods when growth stocks dominate is much more difficult.

Continue reading »

Leveraged ETFs in Asset Allocation: Opportunity or Trap?

November 16, 2025

In this article, we explore whether it makes sense to incorporate leveraged ETFs into static and dynamic long-only asset allocation strategies. Leveraged ETFs promise amplified exposure to the underlying asset, offering the potential for significantly higher returns during favorable market conditions. However, this comes at the cost of much higher volatility, path-dependency, and the well-known issue of volatility decay, which can lead to substantial underperformance over longer periods. Our objective is to examine if — and how — leveraged ETFs can be systematically integrated into portfolio construction so that their benefits can be captured while mitigating their inherent risks.

Continue reading »

Thanksgiving and Christmas Trading Strategies

October 30, 2025

This article examines the impact of major consumer holidays, Thanksgiving and Christmas, on financial markets. Using historical price data from 2004 to 2024, we analyze daily performance trends in the 10 trading days before and after each holiday to determine whether seasonal spending influences asset prices. Our findings suggest that seasonal consumer spending influences financial markets, with Amazon benefiting around Thanksgiving and gold during Christmas.

Continue reading »

Absolute Valuation Models for the Stock Market: Are Indexes Fairly Priced?

June 12, 2025

Valuation models for equity indexes are essential tools for investors seeking to assess long-term market conditions. Traditional models like the CAPE ratio, introduced by Robert J. Shiller, or the Buffett Indicator often rely on macroeconomic variables such as corporate earnings or GDP. While informative, these models can be complex and dependent on data that may be revised or vary across regions. In this article, we introduce a simpler alternative: a valuation ratio based solely on the inflation-adjusted total return of the index, offering a streamlined and transparent approach to index valuation. Finally, our goal would be to answer the question from the title – Are the indexes fairly priced at the moment?

Continue reading »

Refining ETF Asset Momentum Strategy

January 10, 2025

Today’s research introduces a refined ETF asset momentum strategy by combining a correlation filter with selective shorting. While traditional long-short momentum strategies usually yield suboptimal results, the long leg proves effective on its own, and the correlation filter demonstrates significant value for improving the timing and performance of the short leg. We propose a final strategy of going long on 4 top-performing ETFs while selectively shorting 1 ETF with a 30% weight. Our findings demonstrate that this combined long-short selective hedge strategy significantly outperforms standalone momentum strategies and the benchmark, delivering superior risk-adjusted returns and effective hedging during unfavorable market conditions.

Continue reading »

How to Improve Commodity Momentum Using Intra-Market Correlation

September 16, 2024

Momentum is one of the most researched market anomalies, well-known and widely accepted in both public and academic sectors. Its concept is straightforward: buy an asset when its price rises and sell it when it falls. The goal is to take advantage of these trends to achieve better returns than a simple buy-and-hold strategy. Unfortunately, over the last decades, we have been observers of the diminishing returns of the momentum strategies in all asset classes. In this article, we will present an intra-market correlation filter that can help significantly improve commodity momentum performance and return this strategy once again into the spotlight.

Continue reading »