CXO Advisory Blog - Investing Notes

November 20, 2009 - Fly-off of Eight GARP, Value and Size Strategies

Fri, 20 Nov 2009 07:00:00 EST

Evidence from narrow portfolios (top 30 stocks) over a recent short test period indicate that GARP-value-size strategies perform well, with the magic formula (EBIT/EV and ROC combined), EBIT/EV alone...

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November 18, 2009 - A Play on ETF NAVs? (Updated 11/19/09 to correct an error flagged by a reader)

Thu, 19 Nov 2009 13:55:00 EST

"Does buying Exchange-Traded Funds currently trading below Net Asset Value (NAV) provide a real advantage in the long run? In other words, are they 'bound' to reach NAV at some point? Does buying a...

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November 19, 2009 - Passive and Active Collar Strategies for ETFs and Mutual Funds (Updated to append reader comments)

Thu, 19 Nov 2009 13:35:00 EST

Evidence indicates that option collars may substantially improve the performance of ETFs and mutual funds over fairly long periods that include bear markets.

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November 19, 2009 - Why Might the Leveraged ETF Grind Not Work?

Thu, 19 Nov 2009 12:00:00 EST

"You have had multiple blog entries regarding the erosion of price in leveraged funds due to re-balancing costs. Why are there long periods during which this erosion appears not to occur? I have been...

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November 18, 2009 - Inflation Forecast Update

Wed, 18 Nov 2009 09:30:00 EST

The Inflation Forecast now incorporates the actual inflation rate for October 2009, which is somewhat higher than predicted. Based on the difficulty with which this regression model handles extreme...

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November 18, 2009 - Update: U.S. Stock Returns Around Thanksgiving

Wed, 18 Nov 2009 07:10:00 EST

Best guess is that any anomalous U.S. stock market strength around Thanksgiving will come one trading day before and one trading day after the holiday, with the next day weak, but noise generally...

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November 17, 2009 - Is Decision Moose Better?

Tue, 17 Nov 2009 12:05:00 EST

"After spending a lot of time reading about the gurus, strategies and research on your site, the one strategy that stands out as a simple system that has worked over many years is Decision Moose....

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November 17, 2009 - The Distress Index and Stock Returns

Tue, 17 Nov 2009 07:20:00 EST

Evidence from simple tests indicates that the Distress Index is of no use to investors for predicting stock market behavior.

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November 16, 2009 - Bear Spreads on Leveraged ETF Pairs?

Mon, 16 Nov 2009 12:30:00 EST

"After reading 'Shorting Leveraged ETF Pairs', I'm wondering whether there is any other way to play a leveraged ETF pair -- perhaps writing bear spreads on both funds simultaneously."

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November 16, 2009 - Update: The Best and Worst Days and Weeks of the Year

Mon, 16 Nov 2009 06:45:00 EST

Examination of stock returns by calendar date offers no evidence of persistently good or bad specific dates, but there is some support for beliefs that: (1) October is especially volatile; (2) there...

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November 13, 2009 - Art and Stocks

Fri, 13 Nov 2009 07:25:00 EST

Evidence suggests that: (1) the wealth of the wealthy drives art prices; and, (2) art prices tend to evolve with, or somewhat behind, the equity market at a similar pace.

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November 12, 2009 - Extracting the Irrational Part of VIX (Updated to append comments)

Thu, 12 Nov 2009 13:50:00 EST

Evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this...

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November 11, 2009 - Personal Savings Rate and the Stock Market

Wed, 11 Nov 2009 07:30:00 EST

Evidence from several simple tests does not support a belief in any relationship between U.S. stock market returns and the U.S. personal saving rate that is meaningful for investors.

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November 10, 2009 - Other Similar Web Sites?

Tue, 10 Nov 2009 16:30:00 EST

"Do you have any other similar web sites or know of any similar sites?"

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November 10, 2009 - Traditional Beta and Capitalization Weighting Under Attack

Tue, 10 Nov 2009 07:00:00 EST

Evidence from a relatively short history of global stock returns indicates that portfolio weighting based on mechanical metrics other than market capitalization may enhance raw and risk-adjusted...

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November 9, 2009 - Include a Way for Readers to Comment Directly

Mon, 09 Nov 2009 16:40:00 EST

"You should include a way for your readers to post comments directly at the bottom of each of article. This capability would significantly increase reader feedback."

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November 9, 2009 - A Few Notes on Day Trading Options

Mon, 09 Nov 2009 07:35:00 EST

Traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no...

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November 8, 2009 - Tobin's q as a Stock Return Predictor?

Sun, 08 Nov 2009 08:40:00 EST

"I was wondering if you can weigh in on Tobin's q as a predictor of stock returns."

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November 7, 2009 - Optimizing Asset Allocation Based on P/E10

Sat, 07 Nov 2009 09:15:00 EST

"What P/E10 number/level proves to be the most historically profitable for investing and withdrawing?"

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November 6, 2009 - Random Walk, or Not?

Fri, 06 Nov 2009 11:20:00 EST

"Do the equity markets still follow a random walk? Has CXO Advisory Group LLC completed an autocorrelation test of S&P 500 Index returns recently? It would be informative to discover if randomness...

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November 6, 2009 - Update: Testing the Fed Model

Fri, 06 Nov 2009 07:00:00 EST

Evidence from several simple tests does not support a belief that the Fed Model explains investor behavior over the past 20 years.

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November 5, 2009 - Revision of Reversion-to-Value Model

Thu, 05 Nov 2009 10:45:00 EST

We have reviewed the construction and performance of the Reversion-to-Value Model and made changes, as follows:

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November 4, 2009 - Revision of Real Earnings Yield Model

Wed, 04 Nov 2009 18:00:00 EST

We have reviewed the construction and performance of the Real Earnings Yield Model and made changes, as follows:

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November 3, 2009 - Revision of Aggregate Operating Earnings Forecasting Model

Tue, 03 Nov 2009 11:00:00 EST

We have reviewed and revised the model for the Earnings Forecast, which attempts to predict the 12-months forward operating earnings for the S&P 500. The principal change to the model is addition of...

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November 2, 2009 - Haugen's Closed Case

Mon, 02 Nov 2009 10:50:00 EST

Investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.

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October 30, 2009 - Preliminary Test of RYT Model Daily Valuations

Fri, 30 Oct 2009 11:05:00 EST

Evidence from simple tests on a small sample indicates that the RYT Model might have some power to predict short-term behavior of the broad U.S. stock market, but the predictive power is concentrated...

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October 28, 2009 - Testing a Market Neutral Equity Mutual Fund

Wed, 28 Oct 2009 08:05:00 EST

Evidence from simple tests on weekly data over a limited sample period indicate that the TFS Market Neutral (TFSMX) mutual fund has (1) dampened but not neutralized broad market volatility and (2)...

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October 27, 2009 - Update: The Timing Value of John Hussman's Market Climate Assessments

Tue, 27 Oct 2009 05:50:00 EST

Evidence from simple tests does not support a belief that John Hussman successfully times the stock market via assessments of market valuation and market action.

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October 26, 2009 - Update: The "Best" Equity Risk Premium

Mon, 26 Oct 2009 06:37:00 EST

Formal asset valuation models (extrapolations of historical return data) provide the most (least) predictive estimates of the future equity risk premium.

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October 23, 2009 - Stock Price Clustering at Options Expiration

Fri, 23 Oct 2009 11:420:00 EST

"Re 'Clustering of Market Closes Near Round Numbers?', the situation in which clustering is important is at option expiration on stocks with heavily traded options. Professional option writers...

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October 22, 2009 - Clarifications of The Black Swan

Thu, 22 Oct 2009 06:00:00 EST

Investors may want to ponder whether the fat tails of financial asset return distributions (and those for the outputs of many other complex systems) present risks that "normal" statistical methods...

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