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This could be true, I dont think I ever said humans analysing economic data will get it right more often than not. Matter of fact I believe just the opposite which is why mispricings will occur. GM could be a net destroyer of wealth(specially if compared against certain benchmarks), that...

UR seems headed to 11%

And thats my problem with it. VN said in the surfer interview "Another thing I would like to point out is the publicly reported results of the famous trend followers in the last two years, when money at their disposal is at the maximum. I dare say that billions upon billions have been lost as a...

Its a matter of Bayes' theorem, since markets tend to close out edges if the $ return of TF funds is negative over say the last 10 years, that means is likely that TF is not currently working(at least when their AUM is very high). This wont make it to encyclopedia britannica because it can't...

The share price needs to rise because there is always the possibility that dividends could be paid in the future/company could be acquired/buybacks. Think about the implications if that was not the case, ABC company with a market cap of $100m while holding $1B in cash, $100m in annual...

There are systems that are able to capture trends or improve trading results in retrospect in highly liquid markets, I accept that. The question is, are they likely to continue working in the future? Thats why I would like to see the net $ return figure of TFs and CTAs researched by an...

VN said "While these are serious objections, they are of the armchair variety. We have tested similar strategies on big groups of stocks like the S&P500 and found it produces random results." Which you replied with "When restricted to the S&P 500 we found an inverse relationship between the...

What I mean by 'doesnt really support trend following' is that the blackstar paper would not be good 'evidence' that TF works, even though it would add value to a portfolio by reducing volatility. The reason is because so far it appears that they achieve excess returns due a market inefficiency...

Profits is what pay the bills, low drawdowns is nice though. Here is the thing if that system excess returns came from the small cap effect and avoiding stocks that had large declines, then it doesnt really support trend following. Even though avoiding stocks in large downtrends 'worked'...

The Russell 2000 beat the S&P500 from 2000 to 2009 by quite a bit. That should explain at least part of the returns of that system

It appears that the VAY has beaten the S&P500 by a wide margin over the last decade http://finance.yahoo.com/q/bc?s=^VAY&t=my&l=on&z=m&q=l&c=^GSPC It matched during 90's, then outperformed during 00's

You mentioned there was several reasons for the outperformance, the data you provided(which I found interesting) tells me that system beats the market simply because it appears that there is an inneficiency in stock markets where badly performing stocks tend to be overpriced therefore being long...

Nov contract almost didnt moved after the statement. thats how confident the market was nothing would happen

The $25b cut in agency debt purchases looks like its just a technical issue. It would make no sense for the fed to do a mini-exit like that for no reason

If you really think that, its virtually risk free. contract will expire at 99.87 ish, risk/reward is huge. Of course I happen you think the chances are lower than 1%, probably significantly lower

You are supposed to be short Nov ZQ then

I actually agree with VN regarding the blackstar paper. Look at the chart of the returns against the S&P500. There is virtually no alpha from 1990 to 1999. Then from 2000 to 2008 there is, that system tends to be long smaller cap stocks compared to the S&P500, the outperformance period is also a...

What if there was going to be a hard landing regardless of who was the Chairman?Greenspan was one vote out of ten(or something), he had to convince the fomc to go his way, also, since regulation Q was ended(early 80's) the fed largely lost control over housing. Even more when the fed tightening...

The idea one shouldn't 'look at VN proof on why long-term trendfollowing is impossible' is like saying one shouldn't look at a scientist that is saying water boils at a certain temperature(though there are differences between social and natural sciences). He is making statiscal claims about TF...

Inflation rates declined virtually every year during Greenspan's tenure(Even if you believe the numbers are cooked, the cooked numbers were going down). So did unemployment, he deserves at least partial credit for that