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	<title>CXO Advisory</title>
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		<title>Simple Tests of VXX as Diversifier [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/</link>
		<comments>http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/#comments</comments>
		<pubDate>Fri, 10 Feb 2012 11:05:39 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Strategic Allocation]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19440</guid>
		<description><![CDATA[Market volatility tends to rise as returns fall. Does adding a proxy for U.S. equity market volatility to a diversified portfolio improve its performance? To check, we add iPath S&#38;P 500 VIX Short Term Futures (VXX) to the following mix of asset class proxies (the same used in &#8220;Simple Asset Class ETF Momentum Strategy&#8221;): PowerShares DB Commodity <a href="http://www.cxoadvisory.com/19440/volatility-effects/simple-tests-of-vxx-as-diversifier/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Forbes Evaluates Ken Fisher&#8217;s Stock Picking</title>
		<link>http://www.cxoadvisory.com/4808/individual-gurus/forbes-evaluates-ken-fishers-stock-picking/</link>
		<comments>http://www.cxoadvisory.com/4808/individual-gurus/forbes-evaluates-ken-fishers-stock-picking/#comments</comments>
		<pubDate>Thu, 09 Feb 2012 17:09:32 +0000</pubDate>
		<dc:creator>Site Administrator</dc:creator>
				<category><![CDATA[Individual Gurus]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=4808</guid>
		<description><![CDATA[Each year, Forbes calculates the performance of columnist recommendations assuming: (1) equal initial investments in each stock pick when published; (2) 1% trading friction for each purchase; and, (3) matching benchmark investments in the S&#38;P 500 Index for each pick with no trading friction. Because matching benchmark investments are spread across the year, the benchmark <a href="http://www.cxoadvisory.com/4808/individual-gurus/forbes-evaluates-ken-fishers-stock-picking/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Pension Fund Real Estate Allocation, Cost and Performance [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19462/investing-expertise/pension-fund-real-estate-allocation-cost-and-performance/</link>
		<comments>http://www.cxoadvisory.com/19462/investing-expertise/pension-fund-real-estate-allocation-cost-and-performance/#comments</comments>
		<pubDate>Thu, 09 Feb 2012 11:03:08 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Investing Expertise]]></category>
		<category><![CDATA[Real Estate]]></category>
		<category><![CDATA[Strategic Allocation]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19462</guid>
		<description><![CDATA[How do pension funds, arguably representative of sophisticated and conservative investors, use real estate as an alternative investment? In their January 2012 paper entitled &#8220;Value Added From Money Managers in Private Markets? An Examination of Pension Fund Investments in Real Estate&#8221;, Aleksandar Andonov, Piet Eichholtz and Nils Kok investigate the allocation, costs and performance of pension <a href="http://www.cxoadvisory.com/19462/investing-expertise/pension-fund-real-estate-allocation-cost-and-performance/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/19462/investing-expertise/pension-fund-real-estate-allocation-cost-and-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Asset Class Diversification Effectiveness Factors [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19472/strategic-allocation/asset-class-diversification-effectiveness-factors/</link>
		<comments>http://www.cxoadvisory.com/19472/strategic-allocation/asset-class-diversification-effectiveness-factors/#comments</comments>
		<pubDate>Wed, 08 Feb 2012 11:03:03 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Strategic Allocation]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19472</guid>
		<description><![CDATA[What factors make asset class diversification work? To investigate empirically, we consider the following mix of asset class proxies (the same used in &#8220;Simple Asset Class ETF Momentum Strategy&#8221;): PowerShares DB Commodity Index Tracking (DBC)iShares MSCI Emerging Markets Index (EEM)iShares MSCI EAFE Index (EFA)SPDR Gold Shares (GLD)iShares Russell 1000 Index (IWB)iShares Russell 2000 Index (IWM)SPDR Dow Jones REIT (RWR)iShares Barclays 20+ Year Treasury Bond (TLT)3-month <a href="http://www.cxoadvisory.com/19472/strategic-allocation/asset-class-diversification-effectiveness-factors/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Turn of the Year and Size in U.S. Equities</title>
		<link>http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/</link>
		<comments>http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/#comments</comments>
		<pubDate>Tue, 07 Feb 2012 11:02:13 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Size Effect]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=10798</guid>
		<description><![CDATA[The turn of the year (December-January) for the U.S. stock market reportedly includes the Santa Claus rally and the January effect. Some research indicates the latter is dead (and was driven essentially by small-capitalization stocks when alive). How does the stock market behave across the turn of the year for a recent sample? To check, we construct <a href="http://www.cxoadvisory.com/10798/size-effect/turn-of-the-year-and-size-in-u-s-equities/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New &#8220;Strategic Allocation&#8221; Category</title>
		<link>http://www.cxoadvisory.com/19563/strategic-allocation/new-strategic-allocation-category/</link>
		<comments>http://www.cxoadvisory.com/19563/strategic-allocation/new-strategic-allocation-category/#comments</comments>
		<pubDate>Mon, 06 Feb 2012 17:00:47 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Strategic Allocation]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19563</guid>
		<description><![CDATA[There is a new &#8220;Strategic Allocation&#8221; category in the list above that collects posts related to selection and weighting of asset classes for long-term diversification benefits. You May Also Enjoy... University Endowment Performance: Strategic versus Tactical Allocation Asset Allocation Strategy Horse Race Asset Allocation Driven by Four Economic Phases]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Predicting Stock Market Returns with Implied Index Volatilities [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/</link>
		<comments>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/#comments</comments>
		<pubDate>Mon, 06 Feb 2012 11:02:31 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Equity Options]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=12757</guid>
		<description><![CDATA[Can investors usefully predict the short-term direction of the stock market by contrasting the outlooks implied by out-of-the-money (OTM) and at-the-money (ATM) market index options. In the October 2011 update of their paper entitled &#8220;Implied Volatility Spreads and Expected Market Returns&#8221;, Turan Bali, Ozgur Demirtas and Yigit Atilgan investigate the relationship between stock market index <a href="http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/12757/volatility-effects/predicting-stock-market-returns-with-implied-index-volatilities/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Combining Realized Volatility and Simple Moving Averages [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/</link>
		<comments>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/#comments</comments>
		<pubDate>Fri, 03 Feb 2012 11:06:47 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Technical Trading]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=7901</guid>
		<description><![CDATA[...evidence indicates that focusing simple moving average trading rules on stocks with relatively high past-year volatility may be profitable. However, potential optimism in assumptions about trade timing and trading frictions for high-volatility stocks suggest caution for this finding.]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/7901/volatility-effects/combining-realized-volatility-and-simple-moving-averages/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Bond Market-Aggregate Earnings Interactions [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/19266/fundamental-valuation/bond-market-aggregate-earnings-interactions/</link>
		<comments>http://www.cxoadvisory.com/19266/fundamental-valuation/bond-market-aggregate-earnings-interactions/#comments</comments>
		<pubDate>Thu, 02 Feb 2012 11:02:17 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Bonds]]></category>
		<category><![CDATA[Fundamental Valuation]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=19266</guid>
		<description><![CDATA[Do aggregate corporate earnings predict bond market returns? In his January 2012 paper entitled &#8220;Aggregate Earnings and Corporate Bond Markets&#8221;, Xanthi Gkougkousi investigates the relationship between aggregate earnings and corporate bond market returns. Using quarterly aggregate earnings for a broad sample of U.S. stocks with fiscal years ending in March, June, September and December and total <a href="http://www.cxoadvisory.com/19266/fundamental-valuation/bond-market-aggregate-earnings-interactions/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/19266/fundamental-valuation/bond-market-aggregate-earnings-interactions/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Stock Market and the Super Bowl</title>
		<link>http://www.cxoadvisory.com/4479/calendar-effects/stock-market-and-the-super-bowl/</link>
		<comments>http://www.cxoadvisory.com/4479/calendar-effects/stock-market-and-the-super-bowl/#comments</comments>
		<pubDate>Wed, 01 Feb 2012 17:02:56 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=4479</guid>
		<description><![CDATA[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&#8217;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 <a href="http://www.cxoadvisory.com/4479/calendar-effects/stock-market-and-the-super-bowl/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/4479/calendar-effects/stock-market-and-the-super-bowl/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
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