How About The Gleason Report?
...while The Gleason Report's Stock Value Model has performed well in real time (as claimed) since 1999, the performance sample is very small for reliable inference in terms of number of signals, and the most...
Investing Research Articles
3839 Research Articles
Industrial Metals as Asymmetric Equity Return Predictors
...evidence indicates that investors may be able to exploit industrial metal prices as a leading indicator of stock market returns by recognizing that the relationship is positive (negative) for bad (good) economic conditions.
Hindenburg Omens?
...evidence from simple tests of a publicly available set of "confirmed" Hindenburg Omens suggests the possibility of usefulness, but reservations regarding small sample size and potential sample bias are strong.
Indicators of Hedge Fund Performance Persistence
...evidence indicates that hedge fund investors should focus on funds with the best past performances and the most distinctive (uncorrelated) strategies.
Momentum and Moving Averages for Currencies
...findings suggest that momentum, whether based on past returns or moving averages, exists to some degree for currencies. The studies appear not to address combining past returns and moving averages to predict currency market returns.
Exploiting Predictability of Individual Hedge Funds
...evidence indicates that large (diversified) hedge fund investors may be able to exploit multiple predictive factors by averaging their predictive powers to enhance returns derived from selecting recent past winners.
Momentum Timing of Junk Bond Fund?
...evidence from simple tests suggest that junk bond mutual funds exhibit return momentum perhaps exploitable via a multi-asset class allocation strategy (but not a standalone timing strategy).
Market Models Summary Augmentation
Two charts added to “Market Models”, a backtest of the 6-month forecasts and a current valuation map, offer context for the projections from the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of...
Factor Universality?
...evidence from German stocks supports belief in the pervasiveness of a momentum effect and perhaps a value premium, but not market beta and size effects. Any sentiment effect is likely weak, specific to susceptible stocks...
Simple Counter Trend Trade for the Stock Market?
...evidence from simple tests does not support application of the counter trend trade to the broad U.S. stock market.
Momentum in U.S. Corporate Bond Returns
...evidence indicates that investors may be able to exploit momentum in U.S. corporate bond returns by focusing on past winners among low-grade issues.
Testing Engulfing Candlesticks
...given the fairly small size of any abnormalities, standard deviations of returns that are much larger than any abnormalities and the rareness of signals, it seems unlikely that a trader could materially exploit bullish and...
A Few Notes on Harmonic Trading, Volume Two
In his 2010 book entitled Harmonic Trading: Volume Two Advanced Strategies for Profiting from the Natural Order of the Financial Markets, author Scott Carney “offers unprecedented strategies that identify the areas where overall trend divergence...
A Few Notes on Harmonic Trading, Volume One
...Harmonic Trading: Volume One describes an approach to developing expectations for the behavior of financial asset and asset class prices based on the belief that these prices naturally follow trajectories (form patterns) generated by a...
The Equity Risk Premium Through 2008
...evidence from the most credible models of the historical U.S. equity risk premium converge to an annual value in the range 4% to 4.5% during 1872-1950 and 1951-2008.
Simple Versus Complex Valuation Metrics
...evidence indicates that portfolios constructed from ranking stocks based on complex valuation metrics may materially outperform those constructed from simple valuation metrics.
Testing Navellier’s Stock Picking and Market Timing Based on Fund Performance
Navellier & Associates, Inc. offers one Navellier-branded mutual fund, Navellier Fundamental A (NFMAX), “designed to achieve the highest possible returns while minimizing risk.” Selection criteria for fund holdings, re-measured quarterly, “include earnings growth, profit margins,...
Average Stock Variance as a Market Indicator
...evidence suggests that investors may be able to gain an edge by considering the recent historical relationship between average stock price variance and future short-term market return.
Gurus and Incredible Certitude
...for the sake of realism, investment strategy developers should rigorously examine the defensibility of any assumptions embedded in their inference processes.
Accrual Volatility as a Stock Return Predictor
...evidence indicates that investors may be able to earn abnormal returns by exploiting systematic outperformance (underperformance) of stocks with very low (high) historical accrual volatilities.
Seeking Confirming Opinions Rather Than Information?
...experimental evidence indicates that participation in stock message boards/forums increases a typical investor's propensity to trade and decreases actual investment performance. Investors may want to factor this effect into their information search and processing practices.
Success Factors for High-frequency Pairs Trading
...evidence indicates that success of high-frequency trading of paired stocks likely depends critically on minimizing trading friction, balancing trading friction and trigger sensitivity and reacting quickly to triggers, and perhaps on being especially alert during...
Rogue Waves and Hedge Fund Returns
...evidence indicates that hedge funds with low net market exposure may earn returns largely by assuming that correlations between assets and asset classes will behave predictably, and rogue correlation spikes may swamp these funds with...
Exploit Media Bias in Hedge Fund Coverage?
...evidence indicates that hedge fund investors may be able to gain an edge by limiting consideration to funds with recent corporate releases but no other recent media coverage.
Why Don’t We All Just Do What Warren Buffett Does?
...evidence indicates that investors can capture a large portion of Berkshire Hathaway's long-term outperformance by mimicking holdings described in the company's SEC disclosures, because many other large traders do not.