Comments on: Noise & The 10 Best Days http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/ 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: Jim Hansen http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-4220 Jim Hansen Sun, 12 Apr 2009 20:04:29 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-4220 Thanks for the reference to Gire's work above. He's been making this point for quite some time. Unfortunately the link directed me to a "404 error" page. Try this one instead: <a href="http://www.fpajournal.org/BetweentheIssues/LastMonth/Articles/MissingtheTenBest/" rel="nofollow">http://www.fpajournal.org/BetweentheIssues/Last...</a>. Thanks for the reference to Gire's work above. He's been making this point for quite some time. Unfortunately the link directed me to a “404 error” page. Try this one instead: http://www.fpajournal.org/BetweentheIssues/Last….

]]> By: Jim Hansen http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-2432 Jim Hansen Sun, 12 Apr 2009 15:04:29 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-2432 Thanks for the reference to Gire's work above. He's been making this point for quite some time. Unfortunately the link directed me to a "404 error" page. Try this one instead: <a href="http://www.fpajournal.org/BetweentheIssues/LastMonth/Articles/MissingtheTenBest/" rel="nofollow">http://www.fpajournal.org/BetweentheIssues/Last...</a>. Thanks for the reference to Gire's work above. He's been making this point for quite some time. Unfortunately the link directed me to a “404 error” page. Try this one instead: http://www.fpajournal.org/BetweentheIssues/Last….

]]> By: Where the Black Swans Lie - World Beta - Engineering Targeted Returns and Risk http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-2406 Where the Black Swans Lie - World Beta - Engineering Targeted Returns and Risk Fri, 03 Apr 2009 19:48:30 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-2406 [...] crazy to the point I have considered writing a paper on the topic.  Great background reading here from Gire and Estrada.  Stay [...] [...] crazy to the point I have considered writing a paper on the topic.  Great background reading here from Gire and Estrada.  Stay [...]

]]> By: Anonymous http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1794 Anonymous Sun, 30 Mar 2008 16:49:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1794 From Larry Swedroe's comments on IndexUniverse.com referring to market timing using the 200-day ma:<br/>"Assuming you do miss some of the downsides you also miss some of the upsides for the same reasons. And BTW-the chance of a large move up in a month (5% or more) is 70% greater than the chance of a large move down. <br/>Again, I see no logical reason for the strategy to work--momentum is not a risk factor. On other hand it has worked for a long time--and may continue. But since everyone pretty much knows about it now, it should no longer work." From Larry Swedroe’s comments on IndexUniverse.com referring to market timing using the 200-day ma:
“Assuming you do miss some of the downsides you also miss some of the upsides for the same reasons. And BTW-the chance of a large move up in a month (5% or more) is 70% greater than the chance of a large move down.
Again, I see no logical reason for the strategy to work–momentum is not a risk factor. On other hand it has worked for a long time–and may continue. But since everyone pretty much knows about it now, it should no longer work.”

]]> By: Anonymous http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1793 Anonymous Sun, 30 Mar 2008 01:55:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1793 In comments by Larry Swedroe on IndexUniverse.com, he essentially states that, however compelling, the empirical support for trendfollowing market timing amounts to little more than historical data-mining and that this method is not likely to work in the future. That's a critical point, and I'd sure like to be able to judge the validity of this position before putting my investment portfolio at risk. In comments by Larry Swedroe on IndexUniverse.com, he essentially states that, however compelling, the empirical support for trendfollowing market timing amounts to little more than historical data-mining and that this method is not likely to work in the future. That’s a critical point, and I’d sure like to be able to judge the validity of this position before putting my investment portfolio at risk.

]]> By: Anonymous http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1792 Anonymous Sat, 29 Mar 2008 13:59:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1792 one of the best articles that i read! ever! as for the 10 month sma - did you "trade" (enter or exit) only at the end of the month? which price did you use? close at the end of the month, the open of the next month? thank you one of the best articles that i read! ever! as for the 10 month sma – did you “trade” (enter or exit) only at the end of the month? which price did you use? close at the end of the month, the open of the next month? thank you

]]> By: dandman http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1791 dandman Sat, 29 Mar 2008 13:06:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1791 Interesting post, but I'd like to see what happens if you followed your advice to its logical conclusion: You hate hate hate it when commentators mention the "top 10 up days" while failing to include what happens on the "top 10 down days". OK, fine. But then you apply your analysis to esentially the "top 5 UP markets". Isn't it generally accepted that in a Bull Market the biggest down days are actually more pronounced than the biggest up days? How about also applying your analysis to the top Bear markets? I'd bet the short covering rallies (as we've witnessed in the past few months) would lead to stronger UP days than DOWN. If so, would you conclude that it is then better to buy and hold in a Bear Market---so as to ensure being in the market on these more valuable UP days in exchange for suffereing through the not as extreme down days? <br/><br/>It seems like your analysis is just as incomplete...or unethical(?)...as the nauseating blowhards on Bubblevision. Interesting post, but I’d like to see what happens if you followed your advice to its logical conclusion: You hate hate hate it when commentators mention the “top 10 up days” while failing to include what happens on the “top 10 down days”. OK, fine. But then you apply your analysis to esentially the “top 5 UP markets”. Isn’t it generally accepted that in a Bull Market the biggest down days are actually more pronounced than the biggest up days? How about also applying your analysis to the top Bear markets? I’d bet the short covering rallies (as we’ve witnessed in the past few months) would lead to stronger UP days than DOWN. If so, would you conclude that it is then better to buy and hold in a Bear Market—so as to ensure being in the market on these more valuable UP days in exchange for suffereing through the not as extreme down days?

It seems like your analysis is just as incomplete…or unethical(?)…as the nauseating blowhards on Bubblevision.

]]> By: Guru http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1790 Guru Sat, 29 Mar 2008 09:16:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1790 Let me add my congratulations to a thoroughly researched post. I recently came up with the same conclusions in <a HREF="http://stockchartist.blogspot.com/2008/03/does-4-plus-market-day-signal-market.html" REL="nofollow">Is Today's 4% Move a Follow Through Day?</a> written on March 18. Let me add my congratulations to a thoroughly researched post. I recently came up with the same conclusions in Is Today’s 4% Move a Follow Through Day? written on March 18.

]]> By: DavidC http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1789 DavidC Sat, 29 Mar 2008 01:06:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1789 Great work, as usual. Does this finding hold for other asset classes, or just for the S&P? It would be great to see a follow-up post extending this to the other assets in the asset allocation model. <br/><br/>Thanks! Great work, as usual. Does this finding hold for other asset classes, or just for the S&P? It would be great to see a follow-up post extending this to the other assets in the asset allocation model.

Thanks!

]]> By: Mebane Faber http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/comment-page-1/#comment-1788 Mebane Faber Fri, 28 Mar 2008 20:10:00 +0000 http://www.mebanefaber.com/2008/03/27/noise-the-10-best-days/#comment-1788 You are correct - I am editing the post with some more analytics, namely volatility. You are correct – I am editing the post with some more analytics, namely volatility.

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