Is there a reliable and material 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...
What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following ten asset class exchange-traded funds (ETF), plus Cash:...
Below is a weekly summary of our research findings for 10/20/25 through 10/24/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI)...
How should investors think about the risks and returns of music royalties, which have become transparent in the streaming era, as an asset class? In their September 2025 paper entitled “Music as an Asset Class”,...
The Sharpe ratio is the most widely used measure of investment efficiency. Is it truly reliable? In their September 2025 paper entitled “How to Use the Sharpe Ratio”, Marcos Lopez de Prado, Alexander Lipton and...
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...
Will bitcoin replace gold as the pre-eminent safe haven asset? In his September 2025 paper entitled “Gold and Bitcoin”, Campbell Harvey compares and contrasts bitcoin and gold as alternative safe haven assets. Based on gold...
Below is a weekly summary of our research findings for 10/13/25 through 10/17/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Where is gold price going? In their September 2025 paper entitled “Understanding Gold”, Claude Erb and Campbell Harvey examine the investment characteristics of gold, its reliability as a hedging asset and the reasons why gold...
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 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...
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...
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 nine asset...
Below is a weekly summary of our research findings for 10/6/25 through 10/10/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
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...
Is it reasonable to assume that strong earnings growth and price-to-earnings ratio (P/E) expansion will sustain the unusually strong U.S. stock market returns of the past decade? In his brief September 2025 paper entitled “Expected...
Are there any experts who can reliably predict stock market returns? In their September 2025 paper entitled “Beliefs and Stock Market Fluctuations: New Evidence from the Past Seven Decades”, David Thesmar and Emil Verner assemble...
How can investors and fund managers best exploit premiums associated with value, momentum, profitability, investment and low volatility factors, either to generate absolute return or to beat a market benchmark? In his September 2025 paper...
Since January 2010, the ADP National Employment Report, in collaboration with the Stanford Digital Economy Lab, has published a monthly estimate of U.S. nonfarm private sector employment using actual payroll data. “The ADP National Employment...
Below is a weekly summary of our research findings for 9/29/25 through 10/3/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are life lessons from one of the leading researchers in finance? In the August 2025 transcript of his interview entitled “My Life in Finance in 12 Questions”, Campbell Harvey offers the following notable points...
The U.S. Bureau of Economic Analysis (BEA) each quarter estimates economic growth via changes in Gross Domestic Product (GDP) and its Personal Consumption Expenditures (PCE), Private Domestic Investment (PDI) and government spending components. BEA releases...
Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute: Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by...
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...