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…
Recent Investing Research
Animal Spirits
Investors Overprice Weird Stocks?
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
Animal Spirits
Stock Market and the Super Bowl
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
Calendar Effects
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 January 2026.
Miscellaneous
Weekly Summary of Research Findings: 1/26/26 – 1/30/26
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.
Fundamental Valuation
Preliminary SACEMS and SACEVS Allocation Updates
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.
Strategic Allocation
SACEMS with Inverse VIX-based Lookback Intervals Update
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
Momentum Investing
Simplest Asset Class ETF Momentum Strategy Update
A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50%… Keep Reading
Economic Indicators
Commercial and Industrial Credit as a Stock Market Driver
Does commercial and industrial (C&I) credit fuel business growth and thereby drive the stock market? To investigate, we relate changes in credit standards from the Federal Reserve Board’s quarterly Senior Loan Officer Opinion Survey on Bank Lending Practices to future U.S. stock market returns. Presumably, loosening (tightening) of credit standards is good (bad) for stocks. The… Keep Reading
Technical Trading
Applying Machine Learning to Recent Daily Returns
Do recent daily returns for a stock reliably predict its near-term performance? In their January 2026 paper entitled “A Unified Framework for Anomalies based on Daily Returns”, Nusret Cakici, Christian Fieberg, Gabor Neszveda, Robert Bianchi and Adam Zaremba relate the distribution of last-month (21 trading days) daily returns to next-month return without imposing functional forms,… Keep Reading
Investing Expertise
Great Stock Picks from Forbes?
Do “great stock picks” from Forbes beat the market? To investigate, we evaluate stock picks for 2022, 2023, 2024 and via “10 Great Stock Picks for 2022 from Top-Performing Fund Managers”, “20 Great Stock Ideas for 2023 from Top-Performing Fund Managers”, “10 Best Stocks For 2024” and “The Best Stocks To Buy Now For 2026”…. Keep Reading
Miscellaneous
Weekly Summary of Research Findings: 1/20/26 – 1/23/26
Below is a weekly summary of our research findings for 1/20/26 through 1/23/26. 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.
Investing Expertise
Performance of Barron’s Annual Top 10 Stocks
Each year in December, Barron’s publishes its list of the best 10 stocks for the next year. Do these picks on average beat the market? To investigate, we scrape the web to find these lists for years 2011 through 2026, calculate the associated calendar year total return for each stock and calculate the average return… Keep Reading