Great catch debit-- we found the same thing as J&T 2011 in our studies. looks like Butter is just another MBA power point expert ----google user--- This proves how the typlcal TA /price action user lives in the past.
surf
Niederhoffer thinks "follow the trend" sucks
- Thread starter GloriaBrown
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Great catch debit-- we found the same thing as J&T 2011 in our studies. looks like Butter is just another MBA power point expert ----google user--- This proves how the typlcal TA /price action user lives in the past.
surf
Brother @marketsurfer: I also read in one of those peer-reviewed journal papers that
[We also found ....] the mean reversion portfolio also had a low
correlation to momentum, indicating that the two strategies
are complementary and can profitably coexist.
How in the world is this even possible? Those academics are frauds (that is the only valid conclusion I can come up with!) ... Also, I should check the date of that publication; may be it is 'ancient'.
Edit: I checked the date of publication: Sep 2013.... yes, it is ancient in market time! Case closed.
[We also found ....] the mean reversion portfolio also had a low
correlation to momentum, indicating that the two strategies
are complementary and can profitably coexist.
How in the world is this even possible? Those academics are frauds (that is the only valid conclusion I can come up with!) ... Also, I should check the date of that publication; may be it is 'ancient'.
Edit: I checked the date of publication: Sep 2013.... yes, it is ancient in market time! Case closed.
B&S paper is theoretical, therefore timeless. J&T is empirical, relevant to one specific timeframe. Hard to believe I have to explain this to you.
BTW Merton didn't co-author the seminal 1973 paper... Look it up...
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We are not dealing with the sharpest tools in the shed when they are blinded by the surf gonzo hate vibe.
They should just sneek away in shame.
Peace, surf
Brother @debitspread: I am so glad I am on your side 'cos your arguments are as sensible as brother @marketsurfer's
However, I have one question: If someone confronts me with data and makes coments like this:
the returns of a zero cost portfolio that consists of a long position in past winners and a short position in past losers makes money in every five year period since 1940. It is difficult to develop a risk-based theory to explain cross-sectional differences in stock returns that are almost never negative.
source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=299107 [same paper @Butterball quoted]
how do I respond esp. given that the data spans 60 years? Should I say 'zero cost portfolio' is a joke and point to the fact that even water these days costs money when bottled?
Come on Surf. I don't hate you. You have given me no reason to hate you. We might have differences, but that doesn't translate to hate. How could one hate someone who makes them laugh so much? I for sure can't.
The data span 60 years prior to the publication of the effect. The effect declined after publication, as is typical. Please see aforementioned 2011 J&T update.
It's all in good fun--- but my facts are correct. remember--you and the others are dealing with your intellectual trading superiors here
:eek:
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Brother @debitspread: My imaginary friend goofy, who doesn't have a PhD in Finance, pointed me to a paper by two guys with funny names -- Fama and French -- who wrote a seminal paper in 1992 putting two words that don't belong together: 'Factor' and 'Model'. There they seem to claim the same result as the above quoted paper.
Shut up, Goofy, I am responding to brother @debitspread. What? Really? Hmmmm ..... Brother @debitspread, Goofy points me to another paper by the same funny named guys in 2012 claiming that momentum strategy returns exits world-wide!
With names like Fama, and French how can they be credible, right brother @debitspread?