CXO Advisory Blog - Investing Notes

December 31, 2009 - The Hottest Spots in Site for 2009

Thu, 31 Dec 2009 07:30:00 EST

In case you may have missed them, here are the most visited items at CXOadvisory.com for all of 2009 (below the main menu level):

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December 30, 2009 - Update: Blogger Sentiment Analysis

Wed, 30 Dec 2009 07:45:00 EST

Analysis of Ticker Sense Blogger Sentiment Poll results indicates that aggregate blogger sentiment is perhaps, like many sentiment indicators, somewhat contrarian with respect to future stock market...

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December 29, 2009 - Is Voluntarily Reported Performance Data Misleading?

Tue, 29 Dec 2009 07:30:00 EST

Evidence indicates that self-reported hedge fund performance data tends to overstate hedge fund industry return and understate risk.

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December 28, 2009 - Ideal Hedge for High-yield Corporate Bonds?

Mon, 28 Dec 2009 12:00:00 EST

"My investments of choice have always been 'junk bonds' - high yield corporate debt. I have hedged my 'junk' at times with short positions in the Russell 2000 Index and a long-term Government...

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December 28, 2009 - Update: Stock Market Valuation Ratio Trends

Mon, 28 Dec 2009 07:30:00 EST

Current S&P earnings forecasts suggest a return to "normal" 12-month trailing P/Es over the next few quarters.

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December 26, 2009 - Any Thoughts on "The Capitalism Distribution?"

Sat, 26 Dec 2009 12:00:00 EST

"If you have some thoughts on the claims in the article 'The Capitalism Distribution' by Blackstar Funds, LLC, I would be most interested in hearing them."

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December 17, 2009 - Could You Review MarketTrak? (Updated 12/26/09 based on comments from Rich Pryor)

Sat, 26 Dec 2009 9:35:00 EST

"Could you review the track record of MarketTrak? Their timing is based on neural network technology and looks at first glance reasonable. Is there any evidence that a neural network provides an edge...

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December 24, 2009 - Update: Do Any Sector ETFs Reliably Lead or Lag the Market?

Thu, 24 Dec 2009 07:40:00 EST

There is little evidence that any equity sector ETFs systematically lead or lag the overall U.S. market over the past decade.

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December 22, 2009 - Simple Sector ETF Momentum Strategy Performance (Updated 12/23/09 to add robustness test and correct calculation errors)

Wed, 23 Dec 2009 10:30:00 EST

Simple sector ETF momentum strategies have generally outperformed the broad stock market over the past decade for reasonably low trading frictions.

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December 23, 2009 - Update: Sector Performance by Calendar Month

Wed, 23 Dec 2009 07:15:00 EST

Calendar effects may vary across sector ETFs, but with only about 11 years of data, these results offer only weak hints for calendar-based sector rotation.

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December 22, 2009 - Could You Grade the Peter Dag Portfolio?

Tue, 22 Dec 2009 12:02:00 EST

"Could you give a grade for the Peter Dag Portfolio? He always claims to be in Timer Digest's top five for market timing year over year."

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December 21, 2009 - Update: U.S. Stock Returns Around New Year's Day

Mon, 21 Dec 2009 06:40:00 EST

Best guess is that any anomalous U.S. stock market strength around New Year's Day will start the week before and persist for two trading days after the holiday, followed by a fade, but noise...

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December 18, 2009 - The TimingCube Market Timing Advisory Service (Updated 12/19/09 to address reader comments)

Sat, 19 Dec 2009 10:37:00 EST

Evidence from simple tests indicates that the TimingCube market timing advisory service may outperform a buy-and-hold strategy over periods that include bear market conditions, but that nimble use of...

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December 17, 2009 - Do TIPS Work?

Thu, 17 Dec 2009 07:00:00 EST

TIPS work reasonably well as an inflation hedge for long-term holders, but they are not particularly useful in measuring inflation expectations.

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December 16, 2009 - Inflation Forecast Update

Wed, 16 Dec 2009 12:05:00 EST

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

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December 16, 2009 - The StocksandBulls.com Trading Advisory Service

Wed, 16 Dec 2009 07:15:00 EST

The StocksandBulls.com trading advisory service may offer an edge to traders with reasonably large accounts. However, a recent large increase in the number of recommended positions, a tendency to...

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December 15, 2009 - Update: Gold as Hedge and Safe Haven

Tue, 15 Dec 2009 06:53:00 EST

Gold is both a hedge and a (short-lived) safe haven for U.S. stocks, but not for bonds. Gold is generally a hedge and safe haven for stocks in developed markets, but not in emerging markets.

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December 14, 2009 - Update: U.S. Stock Returns Around Christmas

Mon, 14 Dec 2009 07:00:00 EST

Best guess is that any anomalous U.S. stock market strength around Christmas will start one trading day before and persist for several trading days after the holiday, but noise generally dominates.

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December 11, 2009 - A Few Notes on Trading from Your Gut

Fri, 11 Dec 2009 07:20:00 EST

Active traders may find value in Trading from Your Gut as a means to benchmark their trading thought processes against those of an experienced and introspective peer.

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December 10, 2009 - Anomalies for Building Very Short-term Trades?

Thu, 10 Dec 2009 12:00:00 EST

"I am interested in finding a strategy to day-trade around the opening of trading. Do you know of any first half hour plays that I might start to build from?"

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December 10, 2009 - Arch Crawford, Uncanny Acumen?

Thu, 10 Dec 2009 07:45:00 EST

Evidence from simple tests on a limited dataset does not support a belief that Arch Crawford's trading recommendations beat a buy-and-hold strategy.

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December 9, 2009 - ATM or OTM Index Puts for Portfolio Hedging?

Wed, 09 Dec 2009 11:20:00 EST

"I have been looking into portfolio hedging using index put options, but I cannot find any analysis on the efficiency of using at-the-money (ATM) versus out-of-the-money (OTM) puts. Do you know of...

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December 9, 2009 - John Bogle Updates His Beliefs

Wed, 09 Dec 2009 07:00:00 EST

John Bogle continues to emphasize: (1) balance across stocks and bonds; (2) diversification through broad index funds; (3) funds with low costs; (4) avoidance of trading; (5) tax efficiency; (6)...

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December 8, 2009 - How About Markus Rose?

Tue, 08 Dec 2009 12:00:00 EST

"Have you seen this market timer?"

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December 8, 2009 - Volatility and Valuation Ratios

Tue, 08 Dec 2009 06:27:00 EST

Evidence suggest that investors should consider both the expected the state of the economy and the rareness of that state in in anticipating the relationship between asset class returns and asset...

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December 7, 2009 - Hedging Against Inflation

Mon, 07 Dec 2009 08:02:00 EST

Evidence indicates that inflation hedges effective over the short run, such as commodities, may not work over long horizons and that tactical asset allocation following inflation surprises could...

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December 6, 2009 - How About Nicholas Vardy?

Sun, 06 Dec 2009 08:40:00 EST

"Nicholas Vardy sends me offers to subscribe to his newsletter. If I am to believe his claims, he could make me rich. He is not listed among your gurus. Would you consider evaluating his track...

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December 5, 2009 - Are VIX Options Mispriced?

Sat, 05 Dec 2009 10:50:00 EST

"Today (12/04/09), the Dec 27.5 VIX put options had a negative extrinsic value [option price - (strike value - VIX level)] of $-0.36 with bid-ask spread $0.50. Is there something about VIX that makes...

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December 4, 2009 - Can You Elaborate on High-frequency Trading?

Fri, 04 Dec 2009 11:10:00 EST

"Can you elaborate on high frequency trading order executions and possibly on corresponding techniques?"

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December 4, 2009 - Update: The ADP Employment Report and Stock Returns

Fri, 04 Dec 2009 07:05:00 EST

Evidence from simple tests indicates that monthly ADP employment growth may be of some (non-linear) use to investors as a standalone indicator for predicting stock market behavior. However, more...

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December 3, 2009 - How About Mike Paulenoff?

Thu, 03 Dec 2009 12:00:00 EST

"Do you know of Mike Paulenoff? Have you reviewed him?"

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December 3, 2009 - Comparing Lagged and Forward RTV and REY Models

Thu, 03 Dec 2009 07:10:00 EST

Evidence from simple tests on a fairly small sample indicates that the Earnings Forecast enhances the power of the RTV and REY Models to anticipate stock market returns, but that the Inflation...

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December 2, 2009 - Better to Meet or Beat Analyst Earnings Forecasts?

Wed, 02 Dec 2009 07:30:00 EST

Investors looking for long-term stock holdings may want to focus on firms that consistently meet (not beat) consensus earnings forecasts. However, momentum traders may want to lean slightly toward...

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December 1, 2009 - Update: Productivity and the Stock Market

Tue, 01 Dec 2009 06:55:00 EST

Evidence from simple tests indicates that quarterly change in productivity is of no use to investors as a standalone indicator for predicting stock market behavior.

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