I quoted you verbatim. But since you insist, I'll requote:
Lets [sic] take Fama/French 3-factor model as an example. By defining rate of return in terms of market cap and book-to-market ratio they provided a 'definition' for momentum.
Niederhoffer thinks "follow the trend" sucks
- Thread starter GloriaBrown
- Start date
I quoted you verbatim. But since you insist, I'll requote:
Lets [sic] take Fama/French 3-factor model as an example. By defining rate of return in terms of market cap and book-to-market ratio they provided a 'definition' for momentum.
My native language is not english so discussing about definitions of words is difficult if not impossible. It's a pity because I like to discuss (but not like MS) about trading.
Because it is so difficult for me to see the (sometimes very) small differences between two descriptions, I limit myself to my trading. It doesn't matter how it is called, my performance will show me what is optimal to do.
You don't find it ironic that the industry Niederhoffer predicted would "disappear because its basic approach is flawed" 11 years ago is still here and managing 100's of billions. And it's Niederhoffer who disappeared instead as he was flushed out of the markets. Wouldn't you call that poetic justice?
Marketsurfer has probably an explanation for that. Or he can ask it to Viktor the next time when they play tennis at Viktor's court. If not he can call Icahn, because he knows him too. But Icahn does not know Marketsurfer....
I am going to attempt to address this from a different angle.
Carthart four-factor model extended FF 3-factor model by introducing a momentum factor. So, FF's alpha term is further split up. For the purposes of my previous post, this extension does not matter. The idea I am trying to communicate is that one could take FF 3-factor model as a definition of 'trend' and construct a momentum portfolio around it.
Sure once could use Carthart's model and, may be, create a 'better' portfolio by including momentum as a factor. But that is not the point of my previous post -- it was about how a definition of 'trend' (momentum) can be unique.
Regards,
Monoid.
You just keep repeating yourself. A one trick pony?
I think you should ask the trend fund investors how they did rather than the manager salesman.
The giant trend operations run multiple funds. They quietly close the non performers and tout the winners.
No comparison-- vic is a tiny minnow compared to the giants.
He may still be correct, just early.
surf
That would be a nice thread and with your weight here participation might be quite good.
Can you tell how rare your method of trend or momentum definition is? You may see a few
similar minded traders doing the same thing, right?
Not at all fishing here, well..... , but its the concept that is new to me.
We are not even talking about performance, Surf. We're talking about the growth or demise of a class of funds. The trendfollowing industry now manages about twice the money it managed in 2004 -- the year Niederhoffer predicted its demise. You honestly think 11 years is a tad early?
How long do you think we'll have to wait before you will admit Niederhoffer was wrong? 15 years? 25 years?