Inflation Forecast Update
The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for October 2026. The actual total (core) inflation rate is slightly higher than (slightly lower than) forecasted.
Research Library
3,982 articles since 2004. Start with a topic guide, or search and filter the full archive.
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All guidesAll categories- Calendar Effects How stock returns behave around holidays, days of the week, turns of the month, months of the year and recurring events, tested on long market histories. 183 articles
- Volatility and the VIX What the VIX and realized volatility say about future returns, how volatility funds behave, and whether managing exposure by volatility helps. 162 articles
- Intraday and Overnight Trading Day trading strategies, intraday momentum and the split between overnight and daytime returns. 42 articles
- Trend Following and Momentum Moving-average timing, time-series trend following, and momentum across asset classes and individual stocks. 386 articles
- Market Indicators Tests of sentiment, breadth, economic and valuation indicators: which ones have predicted stock returns, and which have not. 309 articles
- Asset Allocation and Portfolios Building and running portfolios: fixed mixes, tactical allocation, risk parity, rebalancing and diversification. 247 articles
- Options and Leveraged ETFs Option-income strategies, hedging with options, and how leveraged and inverse ETFs behave over time. 194 articles
- Guru Grades How accurately 68 market experts forecast the U.S. stock market, graded forecast by forecast. Final report
Most read this month
- Party in Power and Stock Returns Average calendar-year S&P 500 returns are highest under divided government, with a Democratic President and Republican control of part or all of…
- Can the Stock Market Have Bad Breadth? NYSE Up/Down Volume shows modest predictive power for monthly SPY returns, but the effect depends heavily on the 2008-2009 crash period (May…
- Combining Seasonality and Trend Following by Asset Class Seasonality overlay enhanced trend-following strategies with Sharpe ratios increasing from 0.91 to 0.98 for commodities and 0.81 to 0.85 for equities, though…
- VXX and XIV Returns by Day of the Week VXX returns are uniformly negative and most negative on Mondays/Tuesdays, while XIV shows the opposite pattern with positive returns largest early week…
- Intraday Trading of Overactive Stocks via Opening Range Breakout A 5-minute Opening Range Breakout on high Relative Volume U.S. stocks (top 20 daily; stop-loss at 10% ATR; exit at close) outperformed…
- Complex Intraday Time Series Momentum Strategy Applied to SPY Volatility-targeted SPY intraday momentum (noise-boundary breakouts checked at HH:00/HH:30; VWAP-based trailing stops; flat at close) produced 19.6% net annualized return, 1.33 Sharpe,…
Free to read
- First and Last Half Hours of Trading Linked? SPY first half-hour returns predict last half-hour returns with R-squared 0.018 out-of-sample, generating 6.3% vs -0.5% gross annual return (Jan 1999–Dec 2012;…
- Forbes Evaluates Ken Fisher’s Stock Picking Ken Fisher's Forbes picks outperformed S&P 500 (4.2% average annual spread; 1998–2015; equal-weighted with 1% trading costs vs no-cost benchmark; 11 of…
- Asset Allocation Based on Trends Defined by Moving Averages SMA10 timing across five asset classes outperformed buy-and-hold (10.5% vs 9.9% annualized; 1973-2012; monthly rebalancing; S&P 500/bonds/EAFE/commodities/REITs).
- Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals (Chapter-by-Chapter Review) Aronson argues technical analysis must evolve into rigorous observational science, linking statistical testing methods to trading signal validity (2007 book review; theoretical…
- Jim Cramer Using the S&P Oscillator Cramer's S&P Oscillator calls underperformed, with "In" calls lagging average S&P 500 returns and "Out" calls outperforming (21-day horizons; Jun 2008–Oct 2019;…
- Leveraging the U.S. Stock Market Based on SMA Rules Leveraged SMA200 strategy (2X leverage when S&P 500 above 200-day SMA, T-bills below) achieved 0.51 Sharpe ratio vs 0.30 for buy-and-hold (Oct…
Latest research
Include weekly summaries and allocation updates3561 Research Articles
Lessons Learned from Individual Investor Use of AIs
What lessons are emerging from individual investor use of artificial intelligence (AI) platforms based on large language models (LLM) as an aid? As a simple exploration, we ask each of Grok, ChatGPT, Claude, Perplexity and...
Human Interactions with AIs re Financial Advice
How should investors view financial advice from artificial intelligence (AI) models based on large language models, which have neither finance credentials nor investing track records? In their October 2026 paper entitled “Judge for Yourself: Confidence...
Using the AI Panel to Evaluate an Active ETF
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to evaluate an active exchange-traded fund (ETF) that “seeks to offer a distinct source of monthly income...
Using AI to Summarize/Check Academic Research
In their October 2026 paper entitled “When Price Charts Rhyme: Historical Visual Retrieval for Stock Return Prediction”, Hui Chen, Haoyu Liu, Ke Wu and Dexin Zhou report gross annualized hedge portfolio returns as high as...
Aggregate Net Stock Buybacks and Future Stock Market Returns
Is aggregate net U.S. public company stock buyback activity a useful predictor of U.S. stock market return? To investigate, we: Retrieve Nonfinancial Corporate Business; Corporate Equities; Liability, Transactions and multiply values by -1 as a...
Turn of the Year and Size in U.S. Equities
Is there a material and reliable market capitalization (size) effect among U.S. stocks around the turn-of-the-year (TOTY)? To check, we track cumulative returns from 20 trading days before through 20 trading days after the end...
Giving Claude More Freedom to Compete with SACEMs
“Asking Claude to Compete (in Limited Fashion) with SACEMs” asks Claude to form a strategy using the asset universe of the Simple Asset Class ETF Momentum Strategy (SACEMS), while considering both simplicity and avoidance of...
SACEMS, SACEVS and Trading Calendar Updates
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...
Asking Claude to Compete (in Limited Fashion) with SACEMs
Can Claude as a leading representative of large language models, easily beat the Simple Asset Class ETF Momentum Strategy (SACEMS)? To investigate, we pose the following prompt to Claude: Please take the month-end dividend-adjusted prices...
SACEVS and SACEMS Strategy Momentum?
A subscriber suggested that the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) may each exhibit return momentum at the strategy level, such that an investor considering...
SACEVS-SACEMS for Value-Momentum Diversification
Are the “Simple Asset Class ETF Value Strategy” (SACEVS) and the “Simple Asset Class ETF Momentum Strategy” (SACEMS) mutually diversifying. To check, based on feedback from subscribers about combinations of interest, we look at three equal-weighted (50-50) combinations...
Using AI to Discover Calendar-based Return Anomalies
Do artificial intelligence (AI) platforms based on large language models offer a quick way to identify potentially exploitable calendar-based return patterns in financial series? As a simple exploration, we pose to Grok the following prompt:...
Yield Curve as a Stock Market Indicator
Conventional wisdom holds that a steep yield curve (wide U.S. Treasuries term spread) is good for stocks, while a flat/inverted curve is bad. Is this wisdom correct and exploitable? To investigate, we consider in-sample tests...
Do ETFs Following Gurus/Insiders Work?
Do exchange-traded funds (ETF) that seek to mimic holdings of top-ranked hedge funds, firm insiders or other investing gurus offer attractive performance? To investigate, we consider nine ETFs, five live and four dead, in order...
Are Target Retirement Date Funds Attractive?
Do target retirement date funds, offering glidepaths that shift asset allocations away from equities and toward bonds as target dates approach, safely generate attractive returns? To investigate, we consider seven such mutual funds offered by...
Using AI Panel to Generate Contrarian Ideas
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to generate contrarian investment ideas? As a simple exploration, we pose to each of Grok, ChatGPT, Claude,...
Testing AI Panel Strategy Selections
“Using AI Panel to Screen Investment Strategies” reports AI Panel responses to the following prompt: Please concisely describe and quantify the one most promising tactical asset class allocation/tilt strategy for an individual U.S. investor with typical...
Stock Market and the National Election Cycle
Some stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news...
Does the MOVE Index Predict Returns?
Does the ICE BofAML MOVE Index, the implied volatility of U.S. Treasuries as derived from options on U.S. Treasuries with maturities 2, 5, 10 and 30 years, usefully predict U.S. stock market and U.S. Treasury...
How Are Renewable Energy ETFs Doing?
How do exchange-traded-funds (ETF) focused on supplying renewable energy perform? To investigate, we consider nine of the largest renewable energy ETFs, all currently available, as follows: iShares Global Clean Energy (ICLN) Invesco Solar (TAN) First...
Using AI to Generate World Class Financial Research?
Can artificial intelligence (AI) models help compose world class financial research?In his September 2026 paper entitled “AI and Scholarship in Financial Economics”, Campbell Harvey details the 45-minute process of drafting a submission to the April...
How Widespread Use of AIs Will Affect Markets
Can the evolving set of artificial intelligence (AI) platforms based on large language models (LLM) plausibly assess how widespread investor use of AIs to screen investment strategies will affect markets? As a simple exploration, we...
Using AI Panel to Screen Investment Strategies
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to identify attractive investment strategies? As a simple exploration, we pose to each of Grok, ChatGPT, Claude,...
AI Panel Assessment of SACEMS
Does the evolving set of artificial intelligence (AI) platforms based on large language models offer a quick way to assess the credibility of an investment strategy/model? As a simple exploration, we pose to each of...