Which popular stock signals don't predict returns?
Measured Sep 24, 2026 · outcomes through Aug 21, 2026
Macro sensitivities, statistical factor loadings, wavelet cycles, crowding scores, 13D/13G filings, anomaly intensity and chart patterns combined with context. Of 69 such features measured on US stocks as far back as 1995, 0 cleared the bar for a measured tendency and 14 showed a faint tilt. Sorted into fifths on 4 of them, each fifth beat the median stock over the next month 49 to 50 times in 100.
What we measured, family by family
Each family was measured the way every study here is: every Wednesday from 1995, or from the year its data begins (the table gives each family's start), stocks were ranked on the signal and followed for a session, a week, a month and three months against the same day's median stock. Of 69 features, 0 carried a measured tendency, 14 a faint tilt that is not reliable on its own, and 55 no measurable edge.
| Family | What it describes | Measured | Proven | Faint | No edge |
|---|---|---|---|---|---|
| Macro sensitivitiessince 1995 · some features from 2004 | How a stock has moved with oil, copper, gold, the 10-year Treasury yield, credit spreads and inflation expectations | Measured24 | Proven0 | Faint2 | No edge22 |
| Statistical factor loadingssince 1995 | Exposure to the strongest statistical factors in the market's returns, and how concentrated it is in one of them | Measured6 | Proven0 | Faint1 | No edge5 |
| Wavelet cyclessince 1995 | How a stock's price movement splits between short and long cycles | Measured13 | Proven0 | Faint1 | No edge12 |
| Crowding scoresince 1995 | A blend of abnormal volume, turnover and co-movement with the market, with its one-year percentile, its trend and its gap to the sector | Measured4 | Proven0 | Faint2 | No edge2 |
| Ownership filings (13D/13G)since 1995 · some features from 2001 | Large holders and activists: new filings, stakes, concentration and accumulation | Measured8 | Proven0 | Faint7 | No edge1 |
| Anomaly intensitysince 1995 | How many unusual price or volume moves a stock had recently, and how extreme they were | Measured4 | Proven0 | Faint1 | No edge3 |
| Chart patterns with contextsince 1995 · some features from 2021 | A pattern combined with short interest, analyst actions or crowding | Measured10 | Proven0 | Faint0 | No edge10 |
Sorted into fifths, the bars stay flat
Every Wednesday the universe is split into five equal groups on the signal, from its lowest fifth to its highest, and each group is followed for a month. A signal that forecast returns would tilt the bars, one end above 50 in 100 and the other below. Here every fifth beat the same day's median stock 49 to 50 times in 100. Even the relations that do measure are small: a tilt across hundreds of stocks, a nudge for any one.
How often each fifth beat the median stock over the next month · since 1995
How often each fifth beat the median stock over the next month · since 1995
How often each fifth beat the median stock over the next month · since 2001
How often each fifth beat the median stock over the next month · since 1995
Why a faint tilt is not enough
Test enough signals and some look good by luck alone: at a t-statistic of 2, about one test in twenty passes when nothing is there. This page covers 276 tests, each feature at four horizons. 18 cleared that loose bar, against about 14 that luck alone would pass. So a relation counts here only at a t-statistic of 3 or more, with the same sign in most years and a size that matters. 3 tests reached 3, and 3 of those were too small to matter.
Context still describes the stock
None of this makes these readings useless. A stock's sensitivity to oil or to the 10-year yield says what it is exposed to; a 13D filing says an activist holds a large stake; a crowding score says how heavily a stock is being traded and how closely it moves with the market. Those describe a position's risks and who else is in it. They did not tell which way the stock went next against the median stock, so Opulence Alpha shows them as context, never as a signal.
Chart patterns belong on this list
On their own, 0 of 15 chart pattern types showed a measured edge over the next month. Combining a pattern with short interest (data from 2009), analyst actions (from 2012) or crowding did not change that: 0 of 10 combinations carried a measured tendency.
Do chart patterns predict stock returns? The full studyWhat did clear the bar
A few relations did: small for any one stock, steady across the market. The strongest is short-term reversal. The crowding composite is only faint as a blend, yet one of its parts, unusually heavy volume measured on its own, is among the small, steady ones.
Short-term reversal: the strongest relation we measuredVolume and liquidity: what heavy trading did nextHow this was measured
Every Wednesday since 1995, the stocks in our universe are compared on the signal and followed for 1, 5, 21 and 63 trading sessions. A reading counts when the stock beat the median stock on the same day, so chance is always 50 in 100 and a market-wide rally cannot flatter the result. The strength of a relation is a rank correlation (IC) between the signal and the forward return; its t-statistic is taken on non-overlapping dates, and a relation is called proven only when |t| is at least 3, it held in at least 60% of years and it is large enough to matter. With hundreds of tests, a looser bar would pass about one in twenty by luck. Studies run Sep 24, 2026; outcomes measured through Aug 21, 2026.
Research, not advice. A measured tendency across hundreds of stocks is a nudge for any one of them, never a forecast of its price.
Questions
- Do macro sensitivities like interest-rate beta predict stock returns?
- Not reliably. Of 24 measures of how US stocks moved with oil, copper, gold, the 10-year Treasury yield, credit spreads and inflation expectations, measured from 1995 (some only from 2004), 0 carried a measured tendency and 2 showed a faint tilt, not reliable on its own. Ranked by 10-year yield sensitivity, the lowest fifth beat the median stock over the next month 50 times in 100 and the highest fifth 50.
- Do 13D and 13G filings predict stock returns?
- Only as a faint tilt, not a reliable edge. Of 8 features built from 13D and 13G ownership filings (activist filings, blockholder counts, stakes, concentration and accumulation), measured from 1995 (some only from 2001), 0 carried a measured tendency and 7 showed a faint tilt, not reliable on its own. Ranked by blockholder concentration since 2001, the lowest fifth beat the median stock over the next month 50 times in 100 and the highest fifth 50.
- Does a crowding score predict stock returns?
- Only faintly. Measured on US stocks since 1995, the crowding composite, its one-year percentile, its trend and its gap to the sector gave 0 measured tendencies out of 4; 2 showed a faint tilt, not reliable on its own. Ranked by the composite, the lowest fifth beat the median stock over the next month 49 times in 100 and the highest fifth 50.
- Do wavelet cycles, statistical factors or anomaly scores predict returns?
- Not reliably. Across 13 wavelet-cycle features, 6 statistical-factor features and 4 anomaly-intensity features measured on US stocks since 1995, 0 carried a measured tendency; 3 showed a faint tilt, not reliable on its own.
- Why do so many stock market signals fail when tested?
- Two reasons show up in this data: luck and size. Across the 276 tests on this page, 18 cleared a t-statistic of 2, against about 14 that luck alone would pass; 3 reached 3, and 3 of those were too small to matter. Even a real relation is a tilt across hundreds of stocks and a nudge for any one of them.
More evidence
References
- Harvey, C. R., Liu, Y. and Zhu, H. (2016). …and the Cross-Section of Expected Returns. Review of Financial Studies 29(1).
- McLean, R. D. and Pontiff, J. (2016). Does Academic Research Destroy Stock Return Predictability? Journal of Finance 71(1).