Recent Investing Research

Is there a way to amplify the MAX overpricing anomaly (measured as the average of the five highest daily returns for a stock over the past month), which is driven by the desire of some investors for a lottery-like payoff? In their January 2026 paper entitled “MAX on Steroids: A New Measure of Investor Attraction… Keep Reading

How do exchange-traded-funds (ETF) focused on space technology/exploration, an arguably hot theme, perform? To investigate, we consider three such ETFs, all currently available, as follows: State Street SPDR S&P Kensho Final Frontiers ETF (ROKT) Procure Space ETF (UFO) ARK Space & Defense Innovation ETF (ARKX) We use Invesco QQQ Trust (QQQ) as a benchmark, assuming… Keep Reading

Below is a weekly summary of our research findings for 2/2/26 through 2/6/26. 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.

Should investors who believe that the U.S. dollar (USD) is doomed by deficits/debt consider a momentum strategy holding the USD hedge that most recently performed best? To investigate, we test a simple momentum strategy (Winner) that each month holds the one of the following three assets with the highest prior-month return: Vanguard Short-Term Inflation-Protected Securities… Keep Reading

Are some years of the decade better than others for equity markets? To investigate, we look at average annual returns by year of the decade (xxx0 through xxx9) for the U.S. stock market. Using annual levels of Shiller’s S&P Composite Index for 1871-2025 and the S&P 500 Index for 1928-2025, we find that:

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. This approach ignores stocks added to or deleted from the index during those 10 years. Is there a more timely and useful way to aggregate… Keep Reading

Do optimists dominate the pricing of stocks for firms with unusual/difficult to interpret fundamentals, thereby overpricing them? In his December 2025 paper entitled “Hard to Process: Atypical Firms and the Cross-Section of Expected Stock Returns”, Sebastian Weibels relates future stock returns to a measure of the atypicality (ATYP) of firm fundamentals via an autoencoder (unsupervised… Keep Reading

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel… 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 January 2026.

Below is a weekly summary of our research findings for 1/26/26 through 1/30/26. 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.

The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for February 2026. SACEMS rankings are not very close, but markets are volatile. SACEVS allocations are unlikely to change by the close.

One concern about simple momentum strategies is data snooping bias impounded in selection of the lookback interval(s) used to measure asset momentum. To circumvent this concern, we consider the following argument: The CBOE Volatility Index (VIX) broadly indicates the level of financial markets distress and thereby the tendency of investors to act complacently (when VIX… Keep Reading