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CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis.CXO STRATEGIES
The most aggressive combination wins the horse race. All three combinations beat SPY-SMA10. Compound annual growth rates (CAGR) are 13.2%, 11.8%, 11.0% and 9.6% for 50-50 Best Value - EW Top 2, 50-50 Best Value- EW Top 3, 50-50 Weighted - EW Top 3 and SPY:SMA10, respectively. Maximum drawdowns (MaxDD) based on monthly data are-12%, -15%, -15%
ABOUT THE CXO ADVISORY GROUP LLC About The CXO Advisory Group LLC. CXOadvisory.com presents financial markets models, research summaries, analyses and reviews designed for objective, unique and concise value to serious investors, financial advisors and money managers — a modicum of actionable conclusions filtered from a very noisy environment.GURU GRADES
ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
SIMPLE ASSET CLASS ETF VALUE STRATEGY (SACEVS) Simple Asset Class ETF Value Strategy (SACEVS) Government securities, corporate bonds and equities arguably compete for investments at increasing levels of inherent risk based on: (1) valuations relative to each other, measured by risk premiums; and, (2) attractiveness of these risk premiums relative to their respective historical norms. REAL EARNINGS YIELD (REY) MODEL The forward earnings yield as of the end of December 2014 is about 4.14%. The projected return for the S&P 500 Index from the end of December 2014 through the end of June 2015 is therefore 2.71 * 4.14% – 3.4% = +7.6%. A similar calculation for a 3-month horizon indicates a return of +3.8% from the end of December 2014 through theend of March
10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. THE BLACK SWAN: THE IMPACT OF THE HIGHLY IMPROBABLE In his 2007 book The Black Swan: The Impact of the Highly Improbable, Nassim Taleb addresses human inability to process natural randomness, particularly combinations of low predictability and large impact. “It is easy to see that life is the cumulative effect of a handful of significant shocks.” This logic “makes what you don’t know far more relevant than what FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis.CXO STRATEGIES
The most aggressive combination wins the horse race. All three combinations beat SPY-SMA10. Compound annual growth rates (CAGR) are 13.2%, 11.8%, 11.0% and 9.6% for 50-50 Best Value - EW Top 2, 50-50 Best Value- EW Top 3, 50-50 Weighted - EW Top 3 and SPY:SMA10, respectively. Maximum drawdowns (MaxDD) based on monthly data are-12%, -15%, -15%
ABOUT THE CXO ADVISORY GROUP LLC About The CXO Advisory Group LLC. CXOadvisory.com presents financial markets models, research summaries, analyses and reviews designed for objective, unique and concise value to serious investors, financial advisors and money managers — a modicum of actionable conclusions filtered from a very noisy environment.GURU GRADES
ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
SIMPLE ASSET CLASS ETF VALUE STRATEGY (SACEVS) Simple Asset Class ETF Value Strategy (SACEVS) Government securities, corporate bonds and equities arguably compete for investments at increasing levels of inherent risk based on: (1) valuations relative to each other, measured by risk premiums; and, (2) attractiveness of these risk premiums relative to their respective historical norms. REAL EARNINGS YIELD (REY) MODEL The forward earnings yield as of the end of December 2014 is about 4.14%. The projected return for the S&P 500 Index from the end of December 2014 through the end of June 2015 is therefore 2.71 * 4.14% – 3.4% = +7.6%. A similar calculation for a 3-month horizon indicates a return of +3.8% from the end of December 2014 through theend of March
10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. THE BLACK SWAN: THE IMPACT OF THE HIGHLY IMPROBABLE In his 2007 book The Black Swan: The Impact of the Highly Improbable, Nassim Taleb addresses human inability to process natural randomness, particularly combinations of low predictability and large impact. “It is easy to see that life is the cumulative effect of a handful of significant shocks.” This logic “makes what you don’t know far more relevant than what FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
LOGIN - CXO ADVISORY 2004-2021 The CXO Advisory Group, LLC. All Rights Reserved. YOU MUST SUBSCRIBE TO KEEP READING... As summarized in “Twisting Buffett’s Preferred Stocks-bonds Allocation”: (1) Warren Buffett’s preferred fixed asset allocation of 90% stocks and 10% short‐term government bonds (90-10), rebalanced annually, is sensible for U.S. markets; and, (2) investors may be able to beat this allocation modestly by adding simple annualdynamics.
SIMPLE ASSET CLASS ETF VALUE STRATEGY (SACEVS) Simple Asset Class ETF Value Strategy (SACEVS) Government securities, corporate bonds and equities arguably compete for investments at increasing levels of inherent risk based on: (1) valuations relative to each other, measured by risk premiums; and, (2) attractiveness of these risk premiums relative to their respective historical norms. THE COTS TIMER TRADING SYSTEM A reader inquired about the COTs Timer trading system, which employs information from the Commodity Futures Trading Commission’s (CFTC) combined futures and options Commitments of Traders (COT) reports to time the markets for associated assets. In describing these reports, COTs Timer states that: “Devoted fans say they may be the closest thing in the public domain to a Holy Grail of WHAT HAPPENS WHEN VXX MOVES THE WRONG WAY? Results indicate that the VXX trading strategy may be attractive, though volatile, despite being active only 18% of the time (long 7.5% and short 10.8%). The average daily return of the VXX trading strategy is 0.13%, with standard deviation of daily returns 1.84%. APPLYING THE KALMAN FILTER FOR TREND DETECTION In his February 2016 paper entitled “Trend Without Hiccups – A Kalman Filter Approach” , Eric Benhamou investigates the Kalman filter as a tool to smooth (remove the noise from) asset price series in an adaptive way that avoids most of the response lags of moving averages. He defines the Kalman filter as a recursive operation that MARTIN ZWEIG'S FOUR PERCENT MODEL In summary, evidence from simple tests does not offer much support for belief that Martin Zweig’s Four Percent Model is a useful tool for stock market timing on a net basis. A more positive view of the indicator may derive from snooping of the signal threshold within the discovery dataset, from ignoring trading frictions and/or fromignoring
BOB BRINKER'S MARKET TIMING After our initial review of Bob Brinker’s stock market forecasting record, Kirk Lindstrom of Kirk’s Market Thoughts wrote (on 7/26/05) to offer the following additional information:. There is a”Detailed Summary of Bob Brinker’s QQQQ Advice” at “Bob Brinker Fan Club” providing additional information on Mr. Brinker’s call for a significant countertrend rally in late 2000 A FEW NOTES ON MUSCULAR PORTFOLIOS The Papa Bear is a Muscular Portfolio with a slightly larger asset-class menu, but with the potential for greater gains. The Baby Bear is the easiest possible portfolio–it grows like the S&P 500 over time but with smaller drawdowns. The End Game Portfolio is a simple wealth-preservation strategy. It has a large allocation to bondETFs (for
ANY STOCK MARKET ANOMALIES AROUND 3-DAY WEEKENDS? The following chart shows the average daily S&P 500 Index returns from three trading days before (-3 to -1) through three trading days after (1 to 3) three-day weekends over the entire sample period, with one standard deviation variability ranges. The mean daily return for all trading days in the sample is 0.03%.CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis. ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
STOCK PICKING PERFORMANCE OF FAST MONEY EXPERTS The final chart shows the average raw cumulative returns over a 13-week horizon for five individual Fast Money experts: Guy Adami, Karen Finerman, Jeff Macke, Pete Najarian, Tim Seymour and Others. Results suggest that there could be differences in stock picking abilities. However, subsamples for individuals are small (24-44 forWeek 1), and
STOCK RETURNS AROUND EASTER The following chart shows the average daily S&P 500 Index returns for the three trading days before (GF-3 to GF-1) and the three trading days after (GF+1 to GF+3) the Good Friday market closure over the full sample period, with one standard deviation variability ranges. Average daily return for all trading days in the sample is 0.03%. REAL EARNINGS YIELD (REY) MODEL The forward earnings yield as of the end of December 2014 is about 4.14%. The projected return for the S&P 500 Index from the end of December 2014 through the end of June 2015 is therefore 2.71 * 4.14% – 3.4% = +7.6%. A similar calculation for a 3-month horizon indicates a return of +3.8% from the end of December 2014 through theend of March
THE COTS TIMER TRADING SYSTEM A reader inquired about the COTs Timer trading system, which employs information from the Commodity Futures Trading Commission’s (CFTC) combined futures and options Commitments of Traders (COT) reports to time the markets for associated assets. In describing these reports, COTs Timer states that: “Devoted fans say they may be the closest thing in the public domain to a Holy Grail of 10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. APPLYING THE KALMAN FILTER FOR TREND DETECTION In his February 2016 paper entitled “Trend Without Hiccups – A Kalman Filter Approach” , Eric Benhamou investigates the Kalman filter as a tool to smooth (remove the noise from) asset price series in an adaptive way that avoids most of the response lags of moving averages. He defines the Kalman filter as a recursive operation that TESTING THE INDICATORS OF BARCHART.COM Testing the Indicators of Barchart.com. Barchart.com offers free short-term, intermediate-term and long-term technical assessments of stocks and exchange traded funds (ETF). Barchart.com, Inc. claims that their “market information is being used by millions of investors every month.”. An obstacle to assessing the usefulness of their FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis. ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
STOCK PICKING PERFORMANCE OF FAST MONEY EXPERTS The final chart shows the average raw cumulative returns over a 13-week horizon for five individual Fast Money experts: Guy Adami, Karen Finerman, Jeff Macke, Pete Najarian, Tim Seymour and Others. Results suggest that there could be differences in stock picking abilities. However, subsamples for individuals are small (24-44 forWeek 1), and
STOCK RETURNS AROUND EASTER The following chart shows the average daily S&P 500 Index returns for the three trading days before (GF-3 to GF-1) and the three trading days after (GF+1 to GF+3) the Good Friday market closure over the full sample period, with one standard deviation variability ranges. Average daily return for all trading days in the sample is 0.03%. REAL EARNINGS YIELD (REY) MODEL The forward earnings yield as of the end of December 2014 is about 4.14%. The projected return for the S&P 500 Index from the end of December 2014 through the end of June 2015 is therefore 2.71 * 4.14% – 3.4% = +7.6%. A similar calculation for a 3-month horizon indicates a return of +3.8% from the end of December 2014 through theend of March
THE COTS TIMER TRADING SYSTEM A reader inquired about the COTs Timer trading system, which employs information from the Commodity Futures Trading Commission’s (CFTC) combined futures and options Commitments of Traders (COT) reports to time the markets for associated assets. In describing these reports, COTs Timer states that: “Devoted fans say they may be the closest thing in the public domain to a Holy Grail of 10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. APPLYING THE KALMAN FILTER FOR TREND DETECTION In his February 2016 paper entitled “Trend Without Hiccups – A Kalman Filter Approach” , Eric Benhamou investigates the Kalman filter as a tool to smooth (remove the noise from) asset price series in an adaptive way that avoids most of the response lags of moving averages. He defines the Kalman filter as a recursive operation that TESTING THE INDICATORS OF BARCHART.COM Testing the Indicators of Barchart.com. Barchart.com offers free short-term, intermediate-term and long-term technical assessments of stocks and exchange traded funds (ETF). Barchart.com, Inc. claims that their “market information is being used by millions of investors every month.”. An obstacle to assessing the usefulness of their FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis. ABOUT THE CXO ADVISORY GROUP LLC About The CXO Advisory Group LLC. CXOadvisory.com presents financial markets models, research summaries, analyses and reviews designed for objective, unique and concise value to serious investors, financial advisors and money managers — a modicum of actionable conclusions filtered from a very noisy environment. AGGREGATE SHORT INTEREST AS A STOCK MARKET INDICATOR To investigate, we relate the behavior of NYSE aggregate short interest with that of SPDR S&P 500 (SPY). Prior to September 2007, NYSE aggregate short interest is monthly (as of the middle of each month). Since September 2007, measurements are approximately biweekly (as of the middle and end of each months). There is a delay of abouttwo weeks
DOUG FABIAN: STILL SUCCESSFULLY INVESTING? A reader suggested that add Doug Fabian to Guru Grades.According to his web site, Doug Fabian “is the editor of Successful Investing, High Monthly Income and ETF Trader, and is host of the syndicated radio show, ‘Doug Fabian’s Wealth Strategies’.Taking over the reigns from his dad, Dick Fabian, back in 1992, Doug has continued to uphold the reputation of the newsletter as the #1 risk MARTIN ZWEIG'S FOUR PERCENT MODEL In summary, evidence from simple tests does not offer much support for belief that Martin Zweig’s Four Percent Model is a useful tool for stock market timing on a net basis. A more positive view of the indicator may derive from snooping of the signal threshold within the discovery dataset, from ignoring trading frictions and/or fromignoring
STOCK RETURNS AROUND NEW YEAR'S DAY The following chart shows average daily S&P 500 Index returns from five trading days before (NY-5 to NY-1) through five trading days after (NY+1 to NY+5) New Year’s Day over the full sample period, with one standard deviation variability ranges. The average daily return for all trading days in the sample is 0.03%. POWER OF SKEWNESS AND KURTOSIS TO PREDICT STOCK RETURNS Positive for kurtosis. Null for volatility. A trading strategy that each Tuesday buys (sells) with equal weighting stocks in the lowest (highest) tenth of realized skewness generates an average weekly gross return of 0.43%. Adjusting for market, size, book-to-market and momentum factors produces a gross weekly alpha of 0.46%. The effect ismore
MARK SKOUSEN'S CLAIMS SO "WILD" THEY MIGHT BE TRUE? A reader noted and asked: “I’m on an email list of many gurus these days, but the claims that Mark Skousen makes are incredible — so ‘wild’ that I’m wondering if they might actually be true?! He promises to turn $10,000 into $442,000 in seven months.”. While there are implications (such as “Every $5,000 invested could have THE BLACK SWAN: THE IMPACT OF THE HIGHLY IMPROBABLE In his 2007 book The Black Swan: The Impact of the Highly Improbable, Nassim Taleb addresses human inability to process natural randomness, particularly combinations of low predictability and large impact. “It is easy to see that life is the cumulative effect of a handful of significant shocks.” This logic “makes what you don’t know far more relevant than what ACCURACY OF ROBERT TAYLOR'S XYBER9 TREND FORECASTS In February 2008, a reader requested evaluation of the market timing value of Xyber9 trend forecasts for the U.S. stock market, as developed and presented by Robert Taylor, CEO of Trend Corporation, Inc.Our conclusion then was that the claimed accuracy rate probably derives not from forecasting skill but from defining targets that arehard to miss.
CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis.GURU GRADES
ABOUT THE CXO ADVISORY GROUP LLC About The CXO Advisory Group LLC. CXOadvisory.com presents financial markets models, research summaries, analyses and reviews designed for objective, unique and concise value to serious investors, financial advisors and money managers — a modicum of actionable conclusions filtered from a very noisy environment. STOCK PICKING PERFORMANCE OF FAST MONEY EXPERTS The final chart shows the average raw cumulative returns over a 13-week horizon for five individual Fast Money experts: Guy Adami, Karen Finerman, Jeff Macke, Pete Najarian, Tim Seymour and Others. Results suggest that there could be differences in stock picking abilities. However, subsamples for individuals are small (24-44 forWeek 1), and
THE COTS TIMER TRADING SYSTEM A reader inquired about the COTs Timer trading system, which employs information from the Commodity Futures Trading Commission’s (CFTC) combined futures and options Commitments of Traders (COT) reports to time the markets for associated assets. In describing these reports, COTs Timer states that: “Devoted fans say they may be the closest thing in the public domain to a Holy Grail of STOCK RETURNS AROUND EASTER The following chart shows the average daily S&P 500 Index returns for the three trading days before (GF-3 to GF-1) and the three trading days after (GF+1 to GF+3) the Good Friday market closure over the full sample period, with one standard deviation variability ranges. Average daily return for all trading days in the sample is 0.03%. 10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
BOB BRINKER'S MARKET TIMING After our initial review of Bob Brinker’s stock market forecasting record, Kirk Lindstrom of Kirk’s Market Thoughts wrote (on 7/26/05) to offer the following additional information:. There is a”Detailed Summary of Bob Brinker’s QQQQ Advice” at “Bob Brinker Fan Club” providing additional information on Mr. Brinker’s call for a significant countertrend rally in late 2000CXO ADVISORY
CXO Advisory is a stock market research blog that provides traders, investors and financial advisors with the latest market research summaries and analysis.GURU GRADES
ABOUT THE CXO ADVISORY GROUP LLC About The CXO Advisory Group LLC. CXOadvisory.com presents financial markets models, research summaries, analyses and reviews designed for objective, unique and concise value to serious investors, financial advisors and money managers — a modicum of actionable conclusions filtered from a very noisy environment. STOCK PICKING PERFORMANCE OF FAST MONEY EXPERTS The final chart shows the average raw cumulative returns over a 13-week horizon for five individual Fast Money experts: Guy Adami, Karen Finerman, Jeff Macke, Pete Najarian, Tim Seymour and Others. Results suggest that there could be differences in stock picking abilities. However, subsamples for individuals are small (24-44 forWeek 1), and
THE COTS TIMER TRADING SYSTEM A reader inquired about the COTs Timer trading system, which employs information from the Commodity Futures Trading Commission’s (CFTC) combined futures and options Commitments of Traders (COT) reports to time the markets for associated assets. In describing these reports, COTs Timer states that: “Devoted fans say they may be the closest thing in the public domain to a Holy Grail of STOCK RETURNS AROUND EASTER The following chart shows the average daily S&P 500 Index returns for the three trading days before (GF-3 to GF-1) and the three trading days after (GF+1 to GF+3) the Good Friday market closure over the full sample period, with one standard deviation variability ranges. Average daily return for all trading days in the sample is 0.03%. 10-MONTH SMA TIMING SIGNALS OVER THE LONG RUN Based on this combination metric, the instant 10-month SMA timing (buy-and-hold) strategy clearly wins 11 (four) of 15 decades. In summary, evidence from crude modeling over the long run suggests that 10-month SMA timing signals are potentially beneficial, with their value deriving mostly from protection against rare market crashes. ARE ETF OPTIONS SECTION 1256 CONTRACTS? Equity Options. Reader Jeff Partlow passed along the question of whether options on Exchange-Traded Funds (ETF) are Section 1256 contracts, qualifying for 60% long-term and 40% short-term capital gains treatment. Using applicable parts of U.S. Code Section 1256 and IRS Publication 550, we find that: The safe answer is “consult yourtax
FORBES EVALUATES KEN FISHER'S STOCK PICKING Forbes Evaluates Ken Fisher’s Stock Picking. 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 tradingfriction
BOB BRINKER'S MARKET TIMING After our initial review of Bob Brinker’s stock market forecasting record, Kirk Lindstrom of Kirk’s Market Thoughts wrote (on 7/26/05) to offer the following additional information:. There is a”Detailed Summary of Bob Brinker’s QQQQ Advice” at “Bob Brinker Fan Club” providing additional information on Mr. Brinker’s call for a significant countertrend rally in late 2000 LOGIN - CXO ADVISORY 2004-2021 The CXO Advisory Group, LLC. All Rights Reserved. SIMPLE ASSET CLASS ETF VALUE STRATEGY (SACEVS) Simple Asset Class ETF Value Strategy (SACEVS) Government securities, corporate bonds and equities arguably compete for investments at increasing levels of inherent risk based on: (1) valuations relative to each other, measured by risk premiums; and, (2) attractiveness of these risk premiums relative to their respective historical norms. SIMPLE ASSET CLASS ETF MOMENTUM STRATEGY (SACEMS) Simple Asset Class ETF Momentum Strategy (SACEMS) As elaborated in "What Works Best?", a strategic allocation involving perhaps five to ten equally weighted asset classes available via low-fee exchange-traded funds (ETF) or mutual funds, with periodic rebalancing, is a simple way for individual investors to harvest uncorrelated volatility over the long term. TESTING THE INDICATORS OF BARCHART.COM Testing the Indicators of Barchart.com. Barchart.com offers free short-term, intermediate-term and long-term technical assessments of stocks and exchange traded funds (ETF). Barchart.com, Inc. claims that their “market information is being used by millions of investors every month.”. An obstacle to assessing the usefulness of their BITCOIN RETURN DISTRIBUTION Relative to the U.S. dollar, Bitcoin exchange rate return volatility is about six to seven times those of G10 currencies. However, its volatility decreases over time, from almost 200% annualized during its early years to lows of 20% to 30% in 2016. The Bitcoin exchange rate daily return distribution is more strongly non- normal and has heavier DAVID NASSAR: IS HE MARKET-WISE? As suggested by a reader, we evaluate here the market commentary of David Nassar via MarketWatch for November 2004 through May 2006. David Nassar is the chairman and chief executive of MarketWise.com, “a company built by traders and investors offering quality university level education with enduring benefits.”Their mission is “to support traders and investors in their quest to achieve MARTIN ZWEIG'S FOUR PERCENT MODEL In summary, evidence from simple tests does not offer much support for belief that Martin Zweig’s Four Percent Model is a useful tool for stock market timing on a net basis. A more positive view of the indicator may derive from snooping of the signal threshold within the discovery dataset, from ignoring trading frictions and/or fromignoring
APPLYING THE KALMAN FILTER FOR TREND DETECTION In his February 2016 paper entitled “Trend Without Hiccups – A Kalman Filter Approach” , Eric Benhamou investigates the Kalman filter as a tool to smooth (remove the noise from) asset price series in an adaptive way that avoids most of the response lags of moving averages. He defines the Kalman filter as a recursive operation that ANY STOCK MARKET ANOMALIES AROUND 3-DAY WEEKENDS? The following chart shows the average daily S&P 500 Index returns from three trading days before (-3 to -1) through three trading days after (1 to 3) three-day weekends over the entire sample period, with one standard deviation variability ranges. The mean daily return for all trading days in the sample is 0.03%. MARK SKOUSEN'S CLAIMS SO "WILD" THEY MIGHT BE TRUE? A reader noted and asked: “I’m on an email list of many gurus these days, but the claims that Mark Skousen makes are incredible — so ‘wild’ that I’m wondering if they might actually be true?! He promises to turn $10,000 into $442,000 in seven months.”. While there are implications (such as “Every $5,000 invested could have Objective research to aid investing decisions* Login
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VALUE INVESTING STRATEGY (STRATEGY OVERVIEW)
Allocations for June 2020 (Preliminary) CASH __TLT __LQD __SPY __ MOMENTUM INVESTING STRATEGY (STRATEGY OVERVIEW)
Allocations for June 2020 (Preliminary) 1ST ETF __2ND ETF __3RD ETF __ RECENT INVESTING RESEARCH PRELIMINARY SACEMS AND SACEVS ALLOCATION UPDATES MAY 29, 2020 - Momentum Investing, Strategic
Allocation
The home page, Simple Asset Class ETF Momentum Strategy (SACEMS) and Simple Asset Class ETF Value Strategy (SACEVS) now show preliminary positions for June 2020. SACEMS rankings are unlikely to change by the close. SACEVS allocations are currently sensitive to yields and S&P 500 Index level, so they may shift a little by the close. __ SACEMS AT WEEKLY AND BIWEEKLY FREQUENCIES MAY 29, 2020 - Momentum Investing, Strategic
Allocation
A subscriber asked for an update on whether weekly or biweekly (every two weeks) measurement of asset class momentum works better than monthly measurement as used in “Simple Asset Class ETF Momentum Strategy (SACEMS)” (SACEMS). Do higher measurement frequencies respond more efficiently to market turns? To investigate, we compare performances of strategies based on monthly,… Keep Reading __ __ ARE LOW VOLATILITY STOCK ETFS WORKING? MAY 28, 2020 - Equity Premium , Volatility Effects Are low volatility stock strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight of the largest low volatility ETFs, all currently available, in order of longest to shortest available histories: PowerShares S&P 500 Low Volatility Portfolio (SPLV) – the 100 stocks from the S&P 500 Index with the lowest realized volatility over the… Keep Reading __ __ ARE U.S. EQUITY MOMENTUM ETFS WORKING? MAY 27, 2020 - Equity Premium , Momentum Investing Are U.S. stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider five momentum-oriented U.S. equity ETFs with assets over $100 million, all currently available, in order of longest to shortest available histories: PowerShares DWA Momentum Portfolio (PDP) – invests at least 90% of assets in approximately 100 U.S. common… Keep Reading__
__ 10-MONTH VS. 40-WEEK VS. 200-DAY SMA MAY 26, 2020 - Technical Trading A reader proposed: “I would love to see a backtest pitting a 10-month simple moving average (SMA) against a 200-day SMA for SPDR S&P 500 (SPY). I assume trading costs would go through the roof on the latter, but do performance gains offset additional costs?” Others asked about a 40-week SMA. To investigate, we use… Keep Reading __ __ WEEKLY SUMMARY OF RESEARCH FINDINGS: 5/17/20 – 5/22/20 MAY 22, 2020 - Miscellaneous Below is a weekly summary of our research findings for 5/17/20 through 5/22/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list. __ EXPLOITING CHICAGO FED ANFCI PREDICTIVE POWER MAY 22, 2020 - Economic Indicators “Chicago Fed ANFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior…Keep Reading __
__ CHICAGO FED ANFCI AS U.S. STOCK MARKET PREDICTOR MAY 21, 2020 - Economic Indicators Referring to “Chicago Fed NFCI as U.S. Stock Market Predictor”, a subscriber asked whether the Federal Reserve Bank of Chicago’s Adjusted National Financial Conditions Index (ANFCI) may work better as a U.S. stock market predictor. ANFCI “isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to… Keep Reading __ __ EXPLOITING CHICAGO FED NFCI PREDICTIVE POWER MAY 20, 2020 - Economic Indicators “Chicago Fed NFCI as U.S. Stock Market Predictor” suggests that weekly change in the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful indicator of future U.S. stock market returns. We test its practical value via two strategies that are each week in SPDR S&P 500 (SPY) when prior change in… Keep Reading __ __ CHICAGO FED NFCI AS U.S. STOCK MARKET PREDICTOR MAY 19, 2020 - Economic Indicators A subscriber suggested that the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI) may be a useful U.S. stock market predictor. NFCI “provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and ‘shadow’ banking systems.” It consists of 105 inputs, including the S&P 500 Implied… Keep Reading __ __ BEST STOCK PORTFOLIO STYLES DURING AND AFTER CRASHES MAY 18, 2020 - Momentum Investing, Size Effect
, Value Premium
, Volatility Effects Are there equity styles that tend to perform relatively well during and after stock market crashes? In their April 2020 paper entitled “Equity Styles and the Spanish Flu”, Guido Baltussen and Pim van Vliet examine equity style returns around the Spanish Flu pandemic of 1918-1919 and five earlier deep U.S. stock market corrections (-20% to… Keep Reading __ Continue to archive for older articles__
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