Comments on: You Spin Me Round http://www.mebanefaber.com/2007/10/02/you-spin-me-round/ Stock Market and Investing Blog of Mebane Faber Tue, 11 Oct 2011 15:24:53 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: Anonymous http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1549 Anonymous Fri, 05 Oct 2007 10:43:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1549 Does anyonr besides me think that Heebner is due for a very serious blowup? Concentrated plus risk equals a whole range of outcomes. Would Taleb conclude he is just lucky?<br/><br/>M Does anyonr besides me think that Heebner is due for a very serious blowup? Concentrated plus risk equals a whole range of outcomes. Would Taleb conclude he is just lucky?

M

]]> By: Bill aka NO DooDahs! http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1546 Bill aka NO DooDahs! Wed, 03 Oct 2007 16:23:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1546 The fund performances in backtesting results, per their publicity rags, are not out of line with what I'm seeing in my backtesting on purely technical methods. See comment on previous post. What's interesting is that they all want to sell their other hack stuff, i.e., Zacks does it "bottom up" because their gig is earnings-related, VL uses their "timeliness" in the rotation, etc. Part of building a brand, I guess.<br/><br/>The sector paper has at least two issues. First, SECTORS? Gimmeafrickinbreak. To get component momo right, the components have to be small enough to be really moving relative to the index. Second, CONVENTIONAL WISDOM? Puhlease. Maybe the flaw is the CW that certain sectors have this or that performance in certain phases of the "business cycle" or that all cycles are alike, etc. Another shining example of how many papers have to be gone through in order to glean one or two gems worth knowing … The fund performances in backtesting results, per their publicity rags, are not out of line with what I’m seeing in my backtesting on purely technical methods. See comment on previous post. What’s interesting is that they all want to sell their other hack stuff, i.e., Zacks does it “bottom up” because their gig is earnings-related, VL uses their “timeliness” in the rotation, etc. Part of building a brand, I guess.

The sector paper has at least two issues. First, SECTORS? Gimmeafrickinbreak. To get component momo right, the components have to be small enough to be really moving relative to the index. Second, CONVENTIONAL WISDOM? Puhlease. Maybe the flaw is the CW that certain sectors have this or that performance in certain phases of the “business cycle” or that all cycles are alike, etc. Another shining example of how many papers have to be gone through in order to glean one or two gems worth knowing …

]]> By: ProbTrader http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1545 ProbTrader Wed, 03 Oct 2007 15:52:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1545 Controversial <a HREF="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=999100" REL="nofollow">take</a> on sector rotation by Stangl, Jeffrey , Jacobsen, Ben and Visaltanachoti, Nuttawat, "Sector Rotation over Business-Cycles" (September 14, 2007)<br/><br/><i>"We find that a sector rotation strategy guided by conventional market wisdom on where sectors provide optimal performance and with 20/20 hindsight timing business-cycles stages would have earned a 2% Jensen's alpha. This apparent outperformance is a best case scenario that would quickly dissipate without the benefit of hindsight and after a reasonable allowance for transaction fees."</i> Controversial take on sector rotation by Stangl, Jeffrey , Jacobsen, Ben and Visaltanachoti, Nuttawat, “Sector Rotation over Business-Cycles” (September 14, 2007)

“We find that a sector rotation strategy guided by conventional market wisdom on where sectors provide optimal performance and with 20/20 hindsight timing business-cycles stages would have earned a 2% Jensen’s alpha. This apparent outperformance is a best case scenario that would quickly dissipate without the benefit of hindsight and after a reasonable allowance for transaction fees.”

]]> By: lowlywhisper@gmail.com http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1544 lowlywhisper@gmail.com Wed, 03 Oct 2007 09:42:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1544 If FUNDX belongs in the lot, then PFAGX, a fund nobody outside of Muscatine, IA has ever heard of does also.<br/><br/>http://www.pearlfunds.com/pearl_aggressive_performance.htm<br/><br/><br/>Go Ken, and I hope he's taking his vitamins. If FUNDX belongs in the lot, then PFAGX, a fund nobody outside of Muscatine, IA has ever heard of does also.

http://www.pearlfunds.com/pearl_aggressive_performance.htm

Go Ken, and I hope he’s taking his vitamins.

]]> By: seadog http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1543 seadog Tue, 02 Oct 2007 19:29:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1543 You and I both know that the Eck is the best closer of all time. You've seen his work live enough times to know that. His work in Cabo was legendary. <br/><br/>No comments on Barron's HF piece? I didn't read it, figuring you would be all over it. When your Barron's arrives tomorrow please weigh in. You and I both know that the Eck is the best closer of all time. You’ve seen his work live enough times to know that. His work in Cabo was legendary.

No comments on Barron’s HF piece? I didn’t read it, figuring you would be all over it. When your Barron’s arrives tomorrow please weigh in.

]]> By: ProbTrader http://www.mebanefaber.com/2007/10/02/you-spin-me-round/comment-page-1/#comment-1541 ProbTrader Tue, 02 Oct 2007 18:06:00 +0000 http://www.mebanefaber.com/2007/10/02/you-spin-me-round/#comment-1541 You can add FUNDX to the lot (http://www.fundx.com/). They have been around for at least 20 years publishing a newsletter focused on mutual funds (initially) and ETF sectors/assets rotation.<br/>Regularly tracked by the HFD, they claim an average yearly return of 17.8%/year for their class 3 portfolio: http://www.fundx.com/class.cfm You can add FUNDX to the lot (http://www.fundx.com/). They have been around for at least 20 years publishing a newsletter focused on mutual funds (initially) and ETF sectors/assets rotation.
Regularly tracked by the HFD, they claim an average yearly return of 17.8%/year for their class 3 portfolio: http://www.fundx.com/class.cfm

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