Recent Investing Research

Does the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, work across a broad set of asset classes. To investigate, we measure turn-of-the-month (TOTM) returns for the following 10 asset class exchange-traded funds (ETF) used in the “Simple Asset Class ETF Momentum Strategy” and the “Simple Asset Class ETF Value… Keep Reading

A reader inquired whether the Turn-of-the-Month Effect, a concentration of positive stock market returns around the turns of calendar months, works for U.S. stock market sectors. To investigate, we measure turn-of-the-month (TOTM) returns for the nine sector exchange-traded funds (ETF) defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all of which have… Keep Reading

In “Methodology Changes”, we noted implementation of an “Investing Research Sweep” via Claude to mitigate a markedly lower perceived signal-to-noise ratio from the Social Science Research Network (SSRN). In this follow-up, we ask our artificial intelligence (AI) Panel to assess the perception. Specifically, we pose to each of Grok, ChatGPT, Claude, Perplexity and Gemini the following prompt: Please concisely assess in… Keep Reading

Does the Labor Day holiday, marking the end of summer distractions, signal unusual return effects by refocusing U.S. stock investors on managing their portfolios? By its definition, this holiday brings with it any effects from the turn of the month. To investigate the possibility of short-term effects on stock market returns around Labor Day, we… Keep Reading

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 August 2026.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for September 2026. Past returns for the top assets are closely bunched, so SACEMS rankings could change by the close. SACEVS allocations are unlikely to change by the close.

How should investors think about strategies featured as attractive by researchers and investment advisors? In his August 2026 paper entitled “Test Everything, Publish Both Results: A Protocol That Cuts Backtest False Positives from 37% to 0.4%”, Alex Vidovich offers both researchers and consumers of investment strategy research guidance on assessing the rigor of investment strategies…. Keep Reading

Below is a weekly summary of our research findings for 8/24/26 through 8/28/26. 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.

A subscriber requested measurement of a “premium” associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF): SPDR S&P 500 (SPY) iShares MSCI EAFE Index Fund (EFA) Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by… Keep Reading

How might an investor construct a portfolio of very risky assets? To investigate, we revisit ideas first considered six years ago: First, diversify with monthly rebalancing of: Grayscale Bitcoin Trust ETF (GBTC), an indirect Bitcoin holding. SPDR Gold Shares (GLD), an indirect gold holding. ProShares Short VIX Short-Term Futures ETF (SVXY), to capture part of… Keep Reading

Is the proprietary Goldman Sachs Panic Index, conventionally interpreted as good (bad) for future stock market returns when very high (very low), useful for market timing? Because the data series for the index is not publicly available, we ask Claude to estimate the data series from a publicly available chart. Claude generated estimates of end-of-week… Keep Reading

Is the proprietary Bank of America Bull & Bear Indicator, conventionally interpreted as good (bad) for future stock market returns when very low (very high), useful for market timing? Because the data series for this indicator is not publicly available, we ask Claude to estimate the data series from a publicly available chart. Claude generated… Keep Reading