March 27, 2010 - Individual Gurus - Guru Accuracy: 52%
We evaluate here the weekly “Ahead of the Curve” columns in SmartMoney.com since August 2001 (the earliest available). The author, Don Luskin, is the Chief Investment Officer for Trend Macrolytics LLC. The table below quotes forecast highlights from the cited source and shows the performance of the S&P 500 Index over various numbers of trading days… Keep Reading
February 26, 2010 - Individual Gurus - Guru Accuracy: 48%
As requested by a reader, we evaluate here the quarterly market commentary of Stephen Leeb since January 2003 (much of commentary archive removed in occasional site redesigns) with respect to his outlook for U.S. stocks. Stephen Leeb is president of Leeb Capital Management, Inc., editor of The Complete Investor newsletter and author of several books. The… Keep Reading
March 27, 2010 - Individual Gurus - Guru Accuracy: 48%
As suggested by a reader, we expand here an evaluation of overall stock market forecasts from the commentaries of Carl Futia, available since April 2005. The main tools that Carl Futia uses to analyze financial markets are the theory of contrary opinion, his box theory and the work of George Lindsay on ‘repeating time intervals’…. Keep Reading
December 10, 2009 - Calendar Effects, Equity Options
The most relevant research at CXOadvisory.com is…
January 26, 2009 - Technical Trading
…equity traders may find the trading rules in Short Term Trading Strategies That Work interesting, but they should consider potential limitations in the supporting analyses and recognize the challenge of reliably extracting economic value from such rules with trading frictions in a real, continuously managed series of trades.
November 27, 2009 - Strategic Allocation, Volatility Effects
…evidence from a limited sample period (in terms of number of bull and bear markets) indicates that optimized leverage beats both fixed leverage and no leverage. However, with unlucky initial conditions, even optimized leverage may underperform no leverage over a period of many years.
April 25, 2007 - Technical Trading
…there is no evidence of any systematic intraday inefficiencies in SPDR data.
August 15, 2006 - Animal Spirits, Individual Gurus
Can traders exploit irrational reactions to Jim Cramer’s stock recommendations by viewers of CNBC’s Mad Money? In their March 2006 paper entitled “Is the Market Mad? Evidence from Mad Money“, Joseph Engelberg, Caroline Sasseville and Jared Williams measure the market’s reaction to Mr. Cramer’s buy recommendations. Using a sample of 246 initial recommendations made by… Keep Reading
April 26, 2012 - Economic Indicators, Volatility Effects
Do economic announcements systematically remove uncertainty from financial markets and thus reliably lower implied volatility indexes? In their September 2010 paper entitled “The Impact of Macroeconomic Announcements on Implied Volatilities”, Roland Füss, Ferdinand Mager and Lu Zhao measure the reactions of the Chicago Board Options Exchange Volatility Index (VIX) and the DAX Volatility Index (VDAX)… Keep Reading
February 2, 2016 - Calendar Effects, Sentiment Indicators
Are moody investors prone to avoid risk on Monday and accept it on Friday? In his January 2016 paper entitled “Day of the Week and the Cross-Section of Returns”, Justin Birru examines how long-short U.S. stock anomaly portfolio returns vary by day of the week. His hypothesis is that pessimistic (optimistic) mood on Monday (Friday) leads to… Keep Reading