Systematic Investment Research & Education

Following up on an interesting post by @choffstein. I wondered how the combination of 50% NTSX (90% stock/60% bond, 150% exposure), 25% ASFYX (managed futures trend) and 25% GLD (gold) would have done since 2019 when NTSX was launched. The result was impressive: 14.26% CAGR with max drawdown of -7.30%, compared to 10.87% CAGR with -20.85% max drawdown for VBIAX.

Amazing Eagles concert at The Sphere Las Vegas last night!

Here is another view, showing $SPMO vs $SPY total return YTD. The decline in $SPMO from the peak in June was substantial, but YTD total return is still about 10% ahead of $SPY.

Commodities and energy stocks tend to outperform during periods of increased CPI inflation. The table below was included in this weeks edition of The Felder Report.

This new piece from Noah Beck at Research Affiliates points out the fundamentally weighted indices outside of the US are and have momentum. Valuations are actually getting lower despite outperformance compared to their benchmarks. researchaffiliates.com/insig…

@Ed_of_O @dpinsen @NateSilver538 @TheStalwart

US investment factor premiums by decade from the UBS Global Investment Returns Yearbooks 2026

Fundamentals win out in the long run. Deep value (cheapest 20%) of equities among the top 1000 US stocks are trading in the 4th percentile of their historic valuations. As @CliffordAsness has posited as The Less Efficient Market Hypothesis (chrome-extension://efaidnbmnnnibpcajpcglclefindmkaj/assets.realclear.com/files/2…), it may take longer now but value-based stock picking will likely be rewarding for those with (a lot of) patience.

The folks at @PruSpeculator remind us that, while growth has beaten value recently, the long-term history gives the advantage to value. I incorporate both with my focus on quality + value + momentum + trend, each in different sleaves of my portfolio. In recent years, my momentum models have favored growth stocks.

Occasionally, speculation runs rampant. While this can continue for longer than one might expect, fundamentals eventually win out. In the meantime, trend followers are reaping rewards and will exit when these trends eventually end. Russell 2000 factor performance through Q1-Q3 2025 Source: Bloomberg, Glenmede via Idea Farm

While value stocks have had a rough go lately, the folks at The Prudent Speculator remind us that the value factor has performed well over decades. There are no guarantees, but I tend to bet based on the long-term data.