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The equity premium is conventionally the return on stocks minus the risk-free rate (for short-term government bills). What should be the risk-free asset for equities, arguably expected to grow in real terms and never to mature? In the November 2025 draft of their paper entitled “Purifying the Equity Premium”, Christopher Polk and Tuomo Vuolteenaho argue...... href="https:/...
Is systematically selling cash-covered equity put options, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six equity put-write ETFs, three dead and three living: US Equity High Volatility Put Write (HVPW) – oriented toward individual stocks (dead). ALPS Enhanced Put Write Strategy (PUTX) – index-oriented (dead). WisdomTree Equity P...
How is the increasing role of interacting algorithms changing financial markets? In his November 2025 paper entitled “Algorithmic Exuberance”, Marc Schmitt presents an Algorithmic Exuberance model, which automatically stimulates market volatility from two coupled feedback channels (see the figure below): Market-algorithmic reflexivity (trading systems learning from one anothe...
How material is the rebalance timing luck (RTL) induced by picking a trading day to reform a monthly stock momentum strategy? Is there a way to manage the risk of bad luck? In their November 2025 paper entitled “The Tranching Dilemma. A Cost-Aware Approach to Mitigate Rebalance Timing Luck in Factor Portfolios”, Carlo Zarattini and...... href="https://www.cxoadvisory.com/c...
Below is a weekly summary of our research findings for 12/1/25 through 12/5/25. 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....... href="https://www.cxoadvisory.com/miscellaneou...
