Random Walk, or Not?
November 6, 2009 - Big Ideas
CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.
November 6, 2009 - Big Ideas
CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.
November 2, 2009 - Fundamental Valuation, Technical Trading
…investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.
October 28, 2009 - Volatility Effects
…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) generated some alpha.
October 23, 2009 - Animal Spirits
There are academic papers related to your comments. Two of the most heavily downloaded are…
October 22, 2009 - Big Ideas
…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 cannot mitigate.
October 20, 2009 - Technical Trading
See the notes on Chapter 6 in “Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals (Chapter-by-Chapter Review)” for some qualitative aspects of data snooping bias. The book itself presents the mathematics of correcting for data snooping bias.
October 19, 2009 - Animal Spirits
…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 numbers of the index systematically act like either support or resistance.
October 15, 2009 - Calendar Effects, Individual Gurus
Norman Fosback discusses two investing systems on fosback.com: (1) Fosback’s Fund Forecaster; and (2) The Seasonality Timing System…
October 15, 2009 - Fundamental Valuation, Value Premium
…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 announcement abnormal returns.
October 14, 2009 - Investing Expertise, Mutual/Hedge Funds
…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 benchmarks.