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a) total consumption/investment = consumption/investment of government and the private sector b) the correlation coefficient between the two time series is -0.02, i.e. they are statistically unrelated

Sweet. Should be good enough to gap up IYR +15% on Monday morning, just what we needed after all those criminal REIT simultaneous secondaries/analyst upgrade rounds.

Leave out the leverage (like Harris & Yilmaz), the argument still stands. Returns are reduced and so are drawdowns. If [equity = point value x future price] then the intraday risk is equal to simply holding the underlying, the positive returns however still remain and according to the OP they...

Back for me.

Now that's effective deflation fighting :cool:

Most of the analyst comments I read point out that a "recovery is on its way -- time to invest". The big assumption here is a V-Shaped recovery. 50 years of V-Shaped recession/recovery cycles (with the exception of the 1981/82 double dip) did their job to condition analysts to think inside the...

Out of sample. And yet you have problems coming up with 5 trendfollowing CTAs with AUM >$1bln that closed up shop because of catastrophic drawdowns over the last 20 years. By your standards, no evidence whatsoever is able to give any credibility to a given strategy. You're getting a bit...

Why were Harris and Yilmaz able to extract positive out of sample returns out of monthly currency data. That is that question you have to answer. You are making wild claims although there's evidence to the contrary both in research as well as in three decades of managed futures CTA returns...

More nonsense that is besides the point. As expected, you don't reply to the argument that EOD bar DDs and EOM bar DDs historically don't differ strongly enough to have catastrophic margin results assuming reasonable margin/equity ratios. But what am I doing here? Arguing with a guy that...

Holiday (1st of May) -- No trading.

Can't lose with gold. Last time it offered this type of a "no-brainer" setup was in 1980 :cool:

Long ZN, Long GBL, short JGB. GL all :cool:

I believe the point discussed was that any type of leveraged trading system employing monthly bars is untradable because the drawdowns necessarily become catastrophic. I asked Surf if he did any research verifying his assumption on historic data (say over the last 20 years on 8-10 of the most...

Try http://webnet.oecd.org/wbos/

Interesting view on cause and effect :cool:

Yes :cool:

You're picking a 30 year bottom of a random asset class and then argue somebody didn't outperform that? Just when I thought I've heard it all.

These are the headlines I've been waiting for. Performance anxiety making the rounds.

The problem with your thesis is that he's been positioned like that since months -- before March. He didn't come out in March and proclaim "now is the perfect time to go all out short". Net allocation of his fund, Feb 28 2009 (before the rally) Net -11% (of NAV) equity short...

A very simple system trading monthly bars. Annualized ROR% ~39% End Of Month Max DD ~21% End of Week Max DD ~28% End of Day Max DD ~34% You're wrong, again. Case closed. Surf, why do you keep making assumptions without verifying them first. You don't trade do you?