...a trader using Steve Todd's intermediate-term stock market calls as made public via Decision Point since 5/4/06 would have underperformed the market substantially.
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CXO Advisory Blog
Steve Todd’s Intermediate-Term Market Calls, A Forward Test
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.
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Stock Market Valuation Ratio Trends
...current S&P earnings data indicate a return to generational "normal" for 12-month trailing valuation ratios.
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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.
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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.
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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.
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Doing Momentum with Style (ETFs)
...a simple style momentum strategy implemented with ETFs may perform well compared to the overall stock market and individual style ETFs.
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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 the first hour of trading.
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ETF Style by Calendar Month
...evidence from very limited data suggests that there may be some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences does not support confident belief.
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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 extremely large drawdowns.
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