Blog - Investment Notes records our most recent investment-related research. Our focus is on market knowledge and wisdom rather than transient news. Normal update schedule for this section is daily. The blog archives have three subsections: (1) original (primary) research, (2) summaries of external (secondary) research, and (3) reviews of guru forecasts, web sites and a few books. http://www.cxoadvisory.com/blog/ en-us Copyright 2010 CXO Advisory. All Rights Reserved. steve.lecompte@cxoadvisory.com (Steve LeCompte) Formal asset valuation models (extrapolations of historical return data) provide the most (least) predictive estimates of the future equity risk premium. http://www.cxoadvisory.com/blog/external/blog3-17-10/ Wed, 17 Mar 2010 06:18:00 EST Evidence from nearly six decades of data indicates that diversifying across stock return anomalies consistently beats individual anomalies and the broad stock market. http://www.cxoadvisory.com/blog/external/blog3-16-10/ Tue, 16 Mar 2010 06:26:00 EST A simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs. http://www.cxoadvisory.com/blog/internal/blog3-15-10/ Mon, 15 Mar 2010 06:18:00 EST "Can you evaluate Doug Casey in Guru Grades?" http://www.cxoadvisory.com/blog/readerqa/blog3-14-10/ Sun, 14 Mar 2010 06:50:00 EST "Can you evaluate Roger Conrad in Guru Grades?" http://www.cxoadvisory.com/blog/readerqa/blog3-13-10/ Sat, 13 Mar 2010 09:49:00 EST "In 'Purifying Stock Market Sentiment Indicators', you say 'VIX purified of price action contains significant predictive power for future stock market returns.' How do you 'purify' the VIX of price action?" http://www.cxoadvisory.com/blog/readerqa/blog3-12-10/ Fri, 12 Mar 2010 12:15:00 EST Evidence indicates that discretionary (but not non-discretionary) aggregate accruals scaled to total assets significantly predict next-year equity market returns. Firm-level accruals scaled to earnings have substantially stronger and more consistent predictive power for future individual stock returns than accruals scaled to total assets. http://www.cxoadvisory.com/blog/external/blog3-12-10/ Fri, 12 Mar 2010 07:17:00 EST Evidence indicates that hedge fund investors should lean toward low-profile funds. http://www.cxoadvisory.com/blog/external/blog3-11-10/ Thu, 11 Mar 2010 07:09:00 EST Evidence from simple tests of available data indicates that VT26 may be a good strategy for fairly high-frequency trading in some futures markets, better for short trades than long trades, with effectiveness perhaps dependent on market volatility state. http://www.cxoadvisory.com/blog/reviews/blog3-10-10/ Wed, 10 Mar 2010 06:53:00 EST Identifying and addressing appropriately the range of uncertainties found in financial markets is essential to investing success. http://www.cxoadvisory.com/blog/external/blog3-09-10/ Tue, 09 Mar 2010 07:04:00 EST "Have you considered hedging an equal-weighted portfolio of the top three sector ETFs based on six-month momentum with a short position in the S&P 500 Index (via ProShares Short S&P500 - SH)? By adding a short position in the broad index, volatility and drawdowns could decrease." http://www.cxoadvisory.com/blog/readerqa/blog3-08-10/ Mon, 08 Mar 2010 12:07:00 EST Evidence from 1950-2008 indicates that global diversification, while providing little protection on average from local market crashes, offers considerable risk mitigation over the long run. http://www.cxoadvisory.com/blog/external/blog3-08-10/ Mon, 08 Mar 2010 07:05:00 EST "I've observed that cash-secured put sellers tend to select more conservative out-of-the-money strike prices, whereas covered call sellers tend to establish more aggressive out-of-the-money strike prices." http://www.cxoadvisory.com/blog/readerqa/blog3-06-10/ Sat, 06 Mar 2010 08:25:00 EST Evidence from limited tests suggests that ETF pair trading based on relative returns/volatilities may outperform simple passive benchmarks. http://www.cxoadvisory.com/blog/external/blog2-09-10/ Sat, 06 Mar 2010 08:25:00 EST Evidence suggests that investors may be able to enhance exploitation of downside momentum by focusing on stocks with high idiosyncratic (non-beta) volatility. http://www.cxoadvisory.com/blog/external/blog3-05-10/ Fri, 05 Mar 2010 06:42:00 EST Evidence from simple tests on a modest sample indicates that the RYT Model has little or no power to predict short-term behavior of the broad U.S. stock market. http://www.cxoadvisory.com/blog/internal/blog3-04-10/ Thu, 04 Mar 2010 06:49:00 EST "Can you look into the predictions of Martin Armstrong? He may be one of the most interesting and out-of-the-box thinkers on the markets. He supposedly predicted the 1987 crash, the Japanese crash and the top of our real estate market to the day." http://www.cxoadvisory.com/blog/readerqa/blog3-02-10/ Wed, 03 Mar 2010 12:22:00 EST Evidence from small samples indicates that housing price adjusted for inflation, disposable income and GDP reverts to trend (and that adjusted U.S. housing price is currently low). http://www.cxoadvisory.com/blog/external/blog3-03-10/ Wed, 03 Mar 2010 06:53:00 EST Experimental evidence indicates that people, whether expert in finance or not, can quickly learn to distinguish financial markets time series from randomized data with high reliability via simple inference. http://www.cxoadvisory.com/blog/external/blog3-02-10/ Tue, 02 Mar 2010 06:55:00 EST Evidence from detailed Chinese stock account data indicates that the trading of unsophisticated individuals tends to transfer their wealth to institutions and more sophisticated individuals (and to brokers and the government). http://www.cxoadvisory.com/blog/external/blog3-01-10/ Mon, 01 Mar 2010 06:26:00 EST "I read a few papers that suggest buying delisted stocks when they begin trading OTC is a profitable strategy. Do you have any evidence to support this claim?" http://www.cxoadvisory.com/blog/readerqa/blog2-27-10/ Sat, 27 Feb 2010 07:17:00 EST Evidence suggests that book-to-price ratio and earnings yield explain future stock returns better jointly than individually by more completely anticipating future earnings growth. http://www.cxoadvisory.com/blog/external/blog2-26-10/ Fri, 26 Feb 2010 06:58:00 EST Investors may want to consider how their cultural predispositions affect their processing of reported views of experts on financial markets. http://www.cxoadvisory.com/blog/external/blog2-25-10/ Thu, 25 Feb 2010 06:39:00 EST Evidence indicates that stock prices react somewhat predictably in direction and magnitude to specific categories of news, but general market conditions may affect the reactions. http://www.cxoadvisory.com/blog/external/blog2-24-10/ Wed, 24 Feb 2010 06:38:00 EST Evidence indicates that investors/traders may be able to isolate the most profitable short-term reversal opportunities by ranking discount rate shocks (stock prices and earnings forecasts moving in opposite directions) within industries. http://www.cxoadvisory.com/blog/external/blog2-23-10/ Tue, 23 Feb 2010 07:05:00 EST "The performance on Swing-Trading.net must have 200 trades, and no losers. How is that possible?" http://www.cxoadvisory.com/blog/readerqa/blog1-30-10/ Mon, 22 Feb 2010 09:51:00 EST Evidence indicates that stamps probably underperform stocks, beat bonds and gold and tie art over the long run, with a return pattern somewhat like that of gold. http://www.cxoadvisory.com/blog/external/blog2-22-10/ Mon, 22 Feb 2010 06:53:00 EST "I find it really hard to follow the academic language in 'Market Timing and Trading Strategies Using Asset Rotation.' Can you simplify?" http://www.cxoadvisory.com/blog/readerqa/blog2-20-10/ Sat, 20 Feb 2010 10:55:00 EST Evidence from simple tests on limited samples is mixed for gold-gold stock fund pair trading. http://www.cxoadvisory.com/blog/internal/blog2-19-10/ Fri, 19 Feb 2010 15:42:00 EST The Inflation Forecast now incorporates the actual inflation rate for Janaury 2010, which is slightly lower than predicted. http://www.cxoadvisory.com/inflation/ Fri, 19 Feb 2010 8:45:00 EST Evidence from simple tests does not support a belief that alternative measurements of momentum beat past six-month return for a sector ETF momentum strategy. http://www.cxoadvisory.com/blog/internal/blog2-18-10/ Thu, 18 Feb 2010 07:00:00 EST