I've seen this manifest itself in various forms. In some ways, it's like the classic pump and dump scam that used to plague the Internet stock forums back in the late 90's. Tokyo Joe, I think his name was, became infamous for using his track record to front run his mostly illiquid OTC stocks. Because people thought he was this great trader, they would plow into his announced picks, creating a surge of volume in these thinly traded stocks, in which Tokyo Joe would sell out and cause a frantic collapse.

Nowadays, though, you see this sort of behavior in legal and more respectable ways. However, I think the purported results are highly disingenuous. What do I mean? Let's use a well known investment advisory service known as AAII.

AAII has a model shadow stock portfolio with fairly well known and transparent stock selection criteria. However, they often announce stock picks and stock sells to their followers within a day, supposedly, of their actual transaction. I've been studying the behavior of their stock pick/sells announcements, and on average, stocks are trading +5% to -5% (depending on whether it was a buy or sell) within the day following the announcement. This is HUGE for many reasons:

1) They often have multiple transactions on the portfolio in any given year.

2) The performance on the portfolio is boosted by, on average, 5% for any buy or sell. Compounded, this makes a big statistically significant difference on their purported shadow stock portfolio's CAGR and strategy.

3) They do not disclaim this behavior as a caveat emptor.

4) Though their strategy is transparent, their data feed / source is not. No one will be able to replicate their stock picks/sells on their own with their own live data source.