CXO Advisory Blog - Investing Notes

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."

Read the entire article at the CXO blog!

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?"

Read the entire article at the CXO blog!

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...

Read the entire article at the CXO blog!

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.

Read the entire article at the CXO blog!

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:

Read the entire article at the CXO blog!

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:

Read the entire article at the CXO blog!

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...

Read the entire article at the CXO blog!

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.

Read the entire article at the CXO blog!

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...

Read the entire article at the CXO blog!

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)...

Read the entire article at the CXO blog!

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.

Read the entire article at the CXO blog!

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.

Read the entire article at the CXO blog!

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...

Read the entire article at the CXO blog!

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...

Read the entire article at the CXO blog!

October 20, 2009 - Technical Trading Rules and Data Snooping Bias

Tue, 20 Oct 2009 13:50:00 EST

This paper tests 5,000 technical trading rules and comes up empty on all of them. Not even say 200 were good. Has this paper been vetted by anyone? Is it iron-clad? The authors write: 'We find that...

Read the entire article at the CXO blog!

October 19, 2009 - Clustering of Market Closes Near Round Numbers?

Mon, 19 Oct 2009 06:00:00 EST

Evidence from simple tests on the S&P 500 Index since the mid-1990s does not support a belief that closing levels of the market gravitate toward round numbers. Nor do they support a belief that round...

Read the entire article at the CXO blog!

October 16, 2009 - Bonds During the "Off Season"?

Fri, 16 Oct 2009 13:50:00 EST

"Is there data to show what interim investments would do well during June through October? Specifically, are bonds better than cash during those five months? If so, what types of bonds? Wouldn't...

Read the entire article at the CXO blog!

October 16, 2009 - U.S. Stock Market Performance by Intra-year Phase

Fri, 16 Oct 2009 06:00:00 EST

Evidence from simple tests supports some belief in the conventional wisdom that the best time to invest in U.S. stocks is from late October through the end of the year.

Read the entire article at the CXO blog!

October 15, 2009 - Norman Fosback's Performance?

Thu, 15 Oct 2009 11:00:00 EST

"Do you have any data and/or analysis of Norman G. Fosback's performance?"

Read the entire article at the CXO blog!

October 15, 2009 - Inflation Forecast Update

Thu, 15 Oct 2009 08:55:00 EST

The 12-month trailing Inflation Forecast is updated to incorporate actual data for September 2009. The total and core inflation rates for September 2009 are about as forecasted, resulting in...

Read the entire article at the CXO blog!

October 15, 2009 - Combining Value and Earnings Surprise

Thu, 15 Oct 2009 06:05:00 EST

Investors may be able to achieve abnormal returns by combining value and earnings surprises, with most of the benefit coming from value stocks with positive earnings surprises and positive earnings...

Read the entire article at the CXO blog!

October 14, 2009 - The Timing Ability of Bond Mutual Fund Managers

Wed, 14 Oct 2009 05:50:00 EST

Evidence provides weak support for a belief that managers of U.S. bond mutual funds can on average time the bond market, but fund costs/fees offset any associated net outperformance of reasonable...

Read the entire article at the CXO blog!

October 13, 2009 - What About KeyTurningDates.com?

Tue, 13 Oct 2009 11:05:00 EST

"Have you evaluated the newsletter at KeyTurningDates.com by Stephen Campbell?"

Read the entire article at the CXO blog!

October 13, 2009 - Abnormal Returns After Switches to/from Daylight Saving Time?

Tue, 13 Oct 2009 06:00:00 EST

Evidence from a broad international test indicates that switches to/from daylight savings time have no reliable effect on short-term stock returns.

Read the entire article at the CXO blog!

October 12, 2009 - How Rigorous is the Stock Trader's Almanac?

Mon, 12 Oct 2009 11:00:00 EST

"I am curious how reliable some of the factors referenced in the Stock Trader's Almanac are, but I see no reference to it on your site. Could you review the book and/or the primary strategies in the...

Read the entire article at the CXO blog!

October 12, 2009 - A Few Notes on The Options Trading Body of Knowledge

Mon, 12 Oct 2009 06:00:00 EST

Investors may find The Options Trading Body of Knowledge useful as a broad source of information on how strategies for stock options work, but they should be skeptical of any judgments it offers on...

Read the entire article at the CXO blog!

October 11, 2009 - Calculating Asset Price Acceleration

Sun, 11 Oct 2009 06:35:00 EST

"Please help me understand the calculation of 'acceleration' as described in 'Buying on Impulse (Change in Momentum).'"

Read the entire article at the CXO blog!

October 10, 2009 - How Can You Avoid the Fat Left Tails?

Sat, 10 Oct 2009 06:35:00 EST

"Do you have any insights on protecting one's portfolio from the bad losses in the fat left tails of return distributions? Is there any data about stop-losses that actually work?"

Read the entire article at the CXO blog!

October 9, 2009 - Your Review of Robert Prechter Is Inaccurate

Fri, 09 Oct 2009 11:00:00 EST

"I was looking over your guru grade for Robert Prechter. While I haven't been following this guru's advice over the extended period of time that your chart represents, I have followed his newsletters...

Read the entire article at the CXO blog!

October 9, 2009 - Allocating Assets for Retirement

Fri, 09 Oct 2009 05:40:00 EST

Retirees may be able to achieve both higher spending allowances and lower probabilities of portfolio exhaustion by allocating part of their portfolios to a safe core and the balance to a...

Read the entire article at the CXO blog!