Recent Investing Research

Does P/E10 (or Cyclically Adjusted Price-Earnings ratio, CAPE) usefully predict U.S. stock market returns? Per Robert Shiller’s data, P/E10 is inflation-adjusted S&P Composite Index level divided by average monthly inflation-adjusted 12-month trailing earnings of index companies over the last ten years. To investigate its usefulness, we consider in-sample regression/ranking tests and out-of-sample cumulative performance tests. Using monthly values of… Keep Reading

A subscriber asked about the track record of Steven Cress, VP of Quantitative Strategy and Market Data at Seeking Alpha. To investigate, we search for his annual top 10 stock lists, with results as follows: “Top Stocks For 2022” of 1/19/2022. “Top 10 Stocks For 2023” of 1/5/2023. “Top 10 Stocks For 2024” of 12/31/2024…. Keep Reading

Below is a weekly summary of our research findings for 11/3/25 through 11/7/25. 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.

A reader requested a test of the following hypothesis from the article “Gold’s Bluff – Is a 30 Percent Drop Next?” [no longer available]: “Ironically, gold is more than just a hedge against market turmoil. Gold is actually one of the most accurate indicators of the stock market’s long-term direction. The Dow Jones measured in gold is a… Keep Reading

Does bitcoin (BTC) price reliably exhibit momentum or reversion? To investigate, we try three tests: Calculate autocorrelations (serial correlations) between daily, weekly and monthly BTC returns and respective BTC returns for the next 10 intervals (for example, correlation of daily return with returns the next 10 days). Positive and negative correlations suggest momentum and reversion,… Keep Reading

Are some calendar months more likely to exhibit stock market continuation or reversal than others, perhaps due to seasonal or fund rebalancing/reporting effects? In other words, is intrinsic (times series or absolute) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those… Keep Reading

A subscriber requested confirmation of the following relationship between U.S. M2 Money Stock and gold offered in “Why Gold May Be Looking Cheap”: “[O]ne measure I’ve found useful is the ratio of the price of gold to the U.S. money supply, measured by M2, which includes cash as well as things like money market funds,… Keep Reading

Different risk metrics capture different aspects of risk, and the relative importance of different aspects of risk varies across investors. Widely used risk metrics do not serve the interests of long-term investors because they destroy price series history. Is there a better risk metric for such investors? In the October 2025 draft of their paper… 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 October 2025.

Below is a weekly summary of our research findings for 10/27/25 through 10/31/25. 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.