Recent Investing Research

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

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 Stock Returns in Bullish Times”, Javier Estrada decomposes stock returns into: (1) dividend yield, (2) change in earnings and (3)… Keep Reading

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 and test a 69-year sample of expected stock earnings and returns from Value Line (about 1,500 firms per year). They… Keep Reading

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 entitled “Strategic Style Allocation: Absolute or Relative?”, Pim van Vliet examines strategic allocation across long-only, value-weighted versions of these equity… Keep Reading

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 Report is an independent and high-frequency view of the private-sector labor market based on the aggregated and anonymized payroll data… Keep Reading

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 your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

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 relevant investors regarding (1) most important findings and (2) interpretation of academic research:

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 advance, preliminary and final data about one, two and three months after quarter ends, respectively. Do these estimates of economic… Keep Reading

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 10 days (-10) to ETF return leads BTC return by 10 days (10). Pearson correlations between monthly ETH return and… 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 September 2025.