Quant Mashup - CXO Advisory
Blogger Sentiment Analysis [CXO Advisory]
Are prominent stock market bloggers in aggregate able to predict the market’s direction? The Ticker Sense Blogger Sentiment Poll “is a survey of the web’s most prominent investment bloggers, asking ‘What is your outlook on the U.S. stock market for the next 30 days?'” (bullish,
- 9 years ago, 4 May 2015, 12:00pm -
“What Works Best?” Update [CXO Advisory]
We’ve updated “What Works Best?” to incorporate some recent research summaries and adjust interpretation of the body of research.
- 9 years ago, 26 Apr 2015, 09:32am -
A Few Notes on Irrational Exuberance [CXO Advisory]
In the preface to the 2015 Third Edition of Irrational Exuberance, author Robert Shiller states: “…evidence of bubbles has accelerated since the [2007-2009 world financial] crisis. Valuations in the stock and bond markets have reached high levels in the United States and some other countries,
- 9 years ago, 14 Apr 2015, 06:00am -
A Few Notes on The 3% Signal [CXO Advisory]
In the introduction to his 2015 book entitled The 3% Signal: The Investing Technique that Will Change Your Life, author Jason Kelly states: “Ideas count for nothing; opinions are distractions. The only thing that matters is the price of an investment and whether it’s below a level indicating a
- 9 years ago, 2 Apr 2015, 06:00am -
Forbes Evaluates Ken Fisher’s Stock Picking [CXO Advisory]
Each year, Forbes calculates the performance of columnist recommendations assuming: (1) equal initial investments in each stock pick when published; (2) 1% trading friction for each purchase; and, (3) matching benchmark investments in the S&P 500 Index for each pick with no trading friction.
- 9 years ago, 1 Apr 2015, 12:00pm -
Warren Buffett on Investing [CXO Advisory]
Does Warren Buffett consistently keep Berkshire Hathaway in market-beating form? If so, how does he do it? In his annual letters to stockholders, he includes company performance and benchmark data and describes in general terms how he goes about investing. He sometimes shares his thoughts on the
- 9 years ago, 1 Apr 2015, 06:00am -
Stock Returns Around Easter [CXO Advisory]
Does the seasonal change marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, tend to produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index before and after the holiday. Using daily closing levels of the
- 9 years ago, 30 Mar 2015, 12:00pm -
Site Changes [CXO Advisory]
We have made the following changes to CXOadvisory.com: We added a new Value Strategy to the main menu to track the performance of the strategy described in “Simple Asset Class ETF Value Strategy” on a quarterly basis. We intend this new strategy to complement Momentum Strategy. We retired the
- 9 years ago, 27 Mar 2015, 04:00pm -
Bollinger Bands: Buy Low and Sell High? [CXO Advisory]
Are Bollinger Bands useful for specifying low and high levels of the overall U.S. stock market? In other words, can an investor beat a buy-and-hold strategy by systematically buying (selling) when the market crosses below (above) the lower (upper) Bollinger Band? To check, we examine the historical
- 9 years ago, 23 Mar 2015, 06:00am -
Incorporating the Experience of the Financial Crisis [CXO Advisory]
How should financial education incorporate the experience of the 2007-2009 financial crisis? In their May 2014 publication entitled Investment Management: A Science to Teach or an Art fo Learn?, Frank Fabozzi, Sergio Focardi and Caroline Jonas summarize the current approach to teaching finance
- 9 years ago, 18 Mar 2015, 06:00am -
Measuring the Size Effect with Capitalization-based ETFs [CXO Advisory]
Do popular capitalization-based exchange-traded funds (ETF) confirm the existence of a reliably exploitable size effect? To investigate, we compare the difference in equally weighted returns (small minus large) for the following matched pair of small-large ETFs: iShares Russell 2000 Index (Smallcap)
- 9 years ago, 12 Mar 2015, 06:00am -
Mojena Market Timing Model [CXO Advisory]
The Mojena Market Timing strategy (Mojena), developed and maintained by professor Richard Mojena, is a method for timing the broad U.S. stock market based on a combination of 11 monetary, fundamental, technical and sentiment indicators to predict changes in intermediate-term and long-term market
- 9 years ago, 23 Feb 2015, 06:00am -
Doom and the Stock Market [CXO Advisory]
Is proximity to doom good or bad for the stock market? To measure proximity to doom, we use the “Doomsday Clock” “Minutes-to-Midnight” metric, revised occasionally via the Bulletin of the Atomic Scientists, which “conveys how close we are to destroying our civilization with dangerous
- 9 years ago, 6 Feb 2015, 06:00am -
Correction to Momentum Strategy Winners [CXO Advisory]
We have corrected the Momentum Strategy winners list for January 2015 (to be held during February 2015). The third place winner was incorrect due to omission of a dividend.
- 9 years ago, 30 Jan 2015, 12:56pm -
Stock Market and the Super Bowl [CXO Advisory]
Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super
- 9 years ago, 26 Jan 2015, 07:00am -
Do Any Style ETFs Reliably Lead or Lag the Market? [CXO Advisory]
Do any of the various U.S. stock market size and value/growth styles systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we consider the the following six exchange-traded funds (ETF) that cut across capitalization (large, medium
- 9 years ago, 23 Jan 2015, 07:00am -
Style Performance by Calendar Month [CXO Advisory]
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall
- 9 years ago, 23 Jan 2015, 01:00am -
Do Any Sector ETFs Reliably Lead or Lag the Market? [CXO Advisory]
Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all
- 9 years ago, 22 Jan 2015, 07:00am -
Sector Performance by Calendar Month [CXO Advisory]
The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various stock market sectors deviate from an overall market
- 9 years ago, 22 Jan 2015, 01:00am -
A Few Notes on A Random Walk Down Wall Street [CXO Advisory]
In the preface to the eleventh (2015) edition of his book entitled A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, author Burton Malkiel states: “The message of the original edition was a very simple one: Investors would be far better off buying and holding
- 9 years ago, 19 Jan 2015, 01:00am -
RTV and REY Model Updates [CXO Advisory]
We have updated the details of the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of the U.S. stock market to incorporate data for 2014.
- 9 years ago, 17 Jan 2015, 12:30pm -