Investing Research Articles

It seems reasonable to infer from this analysis that many people “renting” automated trading strategies do not do very well and that they may underperform the broad stock market as a group.

IRS rules involving wash sales and options as described in Publication 550 (2008) are complicated.

…value-beta and momentum-beta relationships can and recently have reached such extremes that value and momentum strategies may impound untended assumptions about the future market trend.

CXOadvisory.com has not developed any screens or models to implement or replicate this approach.

Results suggest that the TOTM return is roughly zero in falling markets, so it can still support options selling (but with no safety margin for at-the-money options). Based on this result, selling options only when above the 200-day SMA would likely reduce risk but result in long intervals of inactivity.

A reader suggested: “I know you’ve looked at Didier Sornette’s work in the past, but I think it would be worthwhile to look at his work again. His latest is ‘Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles’, with abstract as follows:”

…evidence from simple tests on a limited dataset do not support a belief that net money flow is usefully predictive of weekly or monthly stock market returns.

Research showing that equity investors in aggregate materially underperform the market via timing of purchases and sales (aggregated money flow) is extensive. See…

…evidence indicates that traders can reliably earn a material premium by providing liquidity for after-hours trading of U.S. stocks and closing these trades at the next market open, so long as the after-hours trading in the stocks is not abnormally active.

“Results appear to indicate that firm executives are not especially good timers of the aggregate stock market.”