Recent content by ecritt

Mutual fund managers are not in the business of maximizing sustainable compounded returns. Mutual fund managers are in the business of raising and retaining assets, charging fees, and staying compliant with a tsunami of suffocating regulations.

How have you determined them to be over-valued?

Please give an example of one of the missing fixed income securities.

http://www.csidata.com

My father had a heart attack two months ago. He was in the hospital for 8 days. Bill: $217,000. Lots of people have heart attacks. Not very many people have 217k.

I never met an illegal that said he/she would leave if they had to pay taxes on income.

I prefer to think of it as the TF 'edge' doesn't work as well on stocks that have already appreciated by 1,000% and have 30 analysts following them. Then again, nothing works as well on these stocks. Thankfully those stocks are alway the minority in terms of numbers. The big TF funds that VN...

How would you exploit the opportunity without a trend following system?

Let's assume for a moment that you are right, that's all it is, the ability to avoid over-priced stocks that have high odds of blowing up in the future. What exactly is wrong with that? Some other evidence: Virtually all of the market's returns come from a small minority of stocks...

We equal weighted the 3,000 most liquid stocks and rebalanced once per year. The result was lower returns, higher volatility, and greater drawdown relative to the S&P 500. It's not because of small caps stocks that the trend following system outperformed. There are several reasons for the...

The novice trader curve is simple and consistent...hasn't changed in centuries.

Modeling novice traders can be done with a fairly simple algorithm. Make subtle changes to the algorithm 100 times and presto...there is your team of losing traders. Use a significant standard deviation channel around the equity curves and use the top of the channel to close out the inevitable...

I don't see the problem. When you short individual stocks you are subject to the supply (inventory) of those shares held in margin accounts at the brokerage firm. The fact that the shares were called back isn't evidence of a naked short sale. This is why I don't short individual...

It's definitely a study of survivorship, but not a biased one. "Survivorship bias" is a specific error where one is evaluating a data-set that isn't representative of reality. Its most relevant form goes something like this: John downloads the historical data for all the stocks in the S&P...

Well, sort of. The actual definition of "trending" in the context of this paper has to do with hitting new all time highs. The point is that all of the market's returns came from a small minority of stocks. All those stocks had one thing in common; the ability to keep hitting new all time...