Investing Research Articles

…there is no evidence of any systematic intraday inefficiencies in SPDR data.

…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.

…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.

The most relevant research at CXOadvisory.com is…

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

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

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

Since 7/9/09, Christophe Faugère has been publishing (almost) daily “Market Estimates” of the value of the S&P 500 Index based on Required Yield Theory (RYT). RYT views investors as: (1) requiring that U.S. stocks and bonds in aggregate prospectively provide a real after-tax yield directly related to real long-term GDP per capita growth; and then,… Keep Reading

Does high-frequency trading amplify noise and thereby reduce the signal-to-noise ratio in stock returns? In his August 2010 paper entitled “The Effect of High-Frequency Trading on Stock Volatility and Price Discovery”, Frank Zhang examines the effect of high-frequency trading on stock price volatility and on incorporation of fundamental news into price. He defines high-frequency trading… Keep Reading

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