The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for June 2026. The actual total (core) inflation rate is lower than (lower than) forecasted.
Recent Investing Research
Fundamental Valuation, Investing Expertise
Explaining Earnings Announcement Stock Returns Using LLMs
Can artificial intelligence (AI) in the form of large language models (LLM) improve upon existing methods to explain stock returns around earnings announcements? In the June 2026 version of their paper entitled “Assessing the Benefits of Optimized Agentic AI Systems for Asset Pricing”, Ralph Koijen and Bradford Levy employ a a real-time, out-of-sample benchmark for… Keep Reading
Investing Expertise, Mutual/Hedge Funds
The State of Active ETFs
How should investors think about active exchange-traded funds (ETF)? In their February 2026 paper entitled “The Fast-Growing Market of Active ETFs”, Rachel Li and Nadia Winn review the state of active ETFs. They consider only ETFs offered by investment companies registered under the Investment Company Act of 1940. They identify active versus passive ETFs based… Keep Reading
Miscellaneous
Weekly Summary of Research Findings: 7/6/26 – 7/10/26
Below is a weekly summary of our research findings for 7/6/26 through 7/10/26. 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.
Equity Premium, Fundamental Valuation, Momentum Investing
When Equity Market Momentum Does and Does Not Work
Under what conditions does equity market time series momentum (TSMOM) work and not work? In their June 2026 paper entitled “Boundaries of Time Series Momentum”, Matti Suominen and Erik Hjalmarsson examine performance of equity market TSMOM across ranges of three valuation metrics: cyclically adjusted price-to-earnings ratio (CAPE), dividend yield and term spread (difference between long-maturity… Keep Reading
Equity Premium, Strategic Allocation
Passive Inflows Killing Active Returns?
Has the strong shift in investor flows from active funds to passive funds unexpectedly contributed to a decline in performance of the former? In her June 2026 paper entitled “Passive Flows, Active Woes: Passive Investing and the Decline of Active Mutual Fund Alpha”, Hannah Unterberg studies whether the secular shift from active to passive investing… Keep Reading
Sentiment Indicators
Summary of Investor Disagreement Research
Considerable research investigates investor disagreement, measured with very different observable metrics (proxies), as an asset return predictor. Is this research coherent? In their June 2026 paper entitled “Measuring Investor Disagreement: Proxies, Pitfalls, and a Path Forward”, Christian Goulding, Campbell Harvey and Hrvoje Kurtović review the body of research on investor disagreement proxies, including those based… Keep Reading
Investing Expertise, Sentiment Indicators
AI-simulated CFO Sentiment
Can large language models (LLM) simulate market-scale, real-time business sentiment from the Chief Financial Officer (CFO) perspective? In their June 2026 paper entitled “CFOs Meet LLMs”, John Graham, Campbell Harvey and Manish Jha use an LLM (GPT-5.4) to simulate CFOs of specific firms. Simulations involve two prompts for each of 6,075 actual responses to the… Keep Reading
Investing Expertise
Investment Manager Selections by AI Panel
Is the evolving set of artificial intelligence (AI) platforms based on large language models interesting as a recommender of investment managers/advisors? Are they monolithic, or diverse? As a simple exploration, we pose to each of Grok, ChatGPT, Claude, Perplexity and Gemini the following prompt regarding selection of an investment manager: Assume you are a U.S…. Keep Reading
Miscellaneous
Weekly Summary of Research Findings: 6/29/26 – 7/2/26
Below is a weekly summary of our research findings for 6/29/26 through 7/2/26. 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.
Individual Investing
Federal Tax Drag for Passive U.S. Equity Investors
What does a passive U.S. equity investor keep after paying federal taxes? In the May 2026 version of his paper entitled “Uncle Sam’s Cut: A Century of the Federal Tax Drag on US Equity Returns”, Andrew Ang estimates the Federal tax drag on passive U.S. equity investors by simulating a taxable investor holding the capitalization-weighted… Keep Reading
Fundamental Valuation
CAPE Ratio (P/E10) Based on Index Component CAPEs
The conventional Cyclically Adjusted Price-Earnings ratio (CAPE), or P/E10, divides current real S&P 500 Index level by average annual aggregate real index earnings as reported over the prior 10 years. Is there a more useful way to aggregate stock-level information? In the June 2026 revision of their paper entitled “CAPE Ratios and Long-Term Returns”, Rui… Keep Reading
Calendar Effects, Momentum Investing, Strategic Allocation
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 Value-Momentum Strategy. We have updated the Trading Calendar to incorporate data for June 2026.