Any Tools to Implement Value-Momentum Asset Class Allocation?
September 23, 2009 - Momentum Investing, Real Estate, Value Premium
CXOadvisory.com has not developed any screens or models to implement or replicate this approach.
September 23, 2009 - Momentum Investing, Real Estate, Value Premium
CXOadvisory.com has not developed any screens or models to implement or replicate this approach.
September 22, 2009 - Equity Options
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.
September 21, 2009 - Big Ideas
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:”
September 18, 2009 - Sentiment Indicators
…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.
September 17, 2009 - Sentiment Indicators
Research showing that equity investors in aggregate materially underperform the market via timing of purchases and sales (aggregated money flow) is extensive. See…
September 17, 2009 - Calendar Effects
…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.
September 16, 2009 - Buybacks-Secondaries
“Results appear to indicate that firm executives are not especially good timers of the aggregate stock market.”
September 14, 2009 - Momentum Investing
The rationale is recognition of a short-term reaction for stocks with momentum concentrated in a recent interval.
September 10, 2009 - Short Selling
The valuation-based method described in “Modeling the Logic of Valuation-motivated Short Sellers” is a candidate…
September 8, 2009 - Fundamental Valuation
…The Dark Side of Valuation presents quantitative approaches to modeling the worth of companies for which valuation is especially complex and/or judgmental.