Comments on: Alpha Engines http://www.mebanefaber.com/2008/04/13/alpha-engines/ 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: Mebane Faber http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1830 Mebane Faber Tue, 15 Apr 2008 17:31:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1830 anon - It depends what market you are referring to regarding bull and bear. . .If your clients are concerned about underperformance then the leveraged or cross market momentum historically outperforms most years.<br/><br/>I use Excel, and have received about 10-20 emails confirming the results so I am not sure what you are referring to. Please email me any info. anon – It depends what market you are referring to regarding bull and bear. . .If your clients are concerned about underperformance then the leveraged or cross market momentum historically outperforms most years.

I use Excel, and have received about 10-20 emails confirming the results so I am not sure what you are referring to. Please email me any info.

]]> By: Anonymous http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1829 Anonymous Tue, 15 Apr 2008 16:32:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1829 The cross-asset momentum seems promising (mimics MA's leveraged results, as you say) as it delivers more return without busting the risk bank. The problem with the MA strategy is that it lags significantly a bull market B&H index strategy to the point that it really loses any client audience, but the ultra conservative crowd. Can you report results separately for bull and bear markets? That would be of critical importance in judging each strategy's implementability...<br/><br/>Question: what platform you do your backtesting on? Results differ from other simulations I have come across. The cross-asset momentum seems promising (mimics MA’s leveraged results, as you say) as it delivers more return without busting the risk bank. The problem with the MA strategy is that it lags significantly a bull market B&H index strategy to the point that it really loses any client audience, but the ultra conservative crowd. Can you report results separately for bull and bear markets? That would be of critical importance in judging each strategy’s implementability…

Question: what platform you do your backtesting on? Results differ from other simulations I have come across.

]]> By: Bill aka NO DooDahs! http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1828 Bill aka NO DooDahs! Mon, 14 Apr 2008 20:17:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1828 Didn't realize that ... shows how often I visit SA! LOL<br/><br/>I hardly ever got traffic from it when I was there in 06.<br/><br/>I actually get more traffic from leaving comments there, but for a while they turned off the website redirect on comments, so I stopped visiting for several months. Recently I noticed that they had it back on, so once again it is worth visiting SA to leave comments ... Didn’t realize that … shows how often I visit SA! LOL

I hardly ever got traffic from it when I was there in 06.

I actually get more traffic from leaving comments there, but for a while they turned off the website redirect on comments, so I stopped visiting for several months. Recently I noticed that they had it back on, so once again it is worth visiting SA to leave comments …

]]> By: Mebane Faber http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1827 Mebane Faber Mon, 14 Apr 2008 17:43:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1827 anon - since the systems are highly correlated i doubt it would help much (but it might!)<br/><br/>bill - SA has posted my content from the beginning. they generate very little traffic. anon – since the systems are highly correlated i doubt it would help much (but it might!)

bill – SA has posted my content from the beginning. they generate very little traffic.

]]> By: Bill aka NO DooDahs! http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1826 Bill aka NO DooDahs! Mon, 14 Apr 2008 14:55:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1826 I see that you took my "advice" and are participating in Seeking Alpha; considering that you're in one of the groups for whom it makes sense to participate (money managers), I half-jokingly (only half) call it "advice" based on that categorization.<br/><br/>It'll be interesting to see how many hits and contacts you make out of it! <br/><br/>I hope you plan on clueing us in as to the results ... I see that you took my “advice” and are participating in Seeking Alpha; considering that you’re in one of the groups for whom it makes sense to participate (money managers), I half-jokingly (only half) call it “advice” based on that categorization.

It’ll be interesting to see how many hits and contacts you make out of it!

I hope you plan on clueing us in as to the results …

]]> By: Anonymous http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1824 Anonymous Mon, 14 Apr 2008 00:57:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1824 Unless, I'm misunderatnding, your table suggests an opportunity to increase CAGR by overweighting or otherwise leveraging the best monthly performing etf(s). At the risk of overcomplicating your simple strategy, have you considered anything along those lines, Mebane? Unless, I’m misunderatnding, your table suggests an opportunity to increase CAGR by overweighting or otherwise leveraging the best monthly performing etf(s). At the risk of overcomplicating your simple strategy, have you considered anything along those lines, Mebane?

]]> By: Mebane Faber http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1823 Mebane Faber Mon, 14 Apr 2008 00:30:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1823 I'll take a look at the paper, thanks. I’ll take a look at the paper, thanks.

]]> By: Anonymous http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1822 Anonymous Mon, 14 Apr 2008 00:24:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1822 Thanks, Mebane. Your posts continue to provide simple and actionable strategies for those of us struggling in the analytical quicksand between day trading and lazy portfolios. Your blog is on my must-read list everyday. Thanks, Mebane. Your posts continue to provide simple and actionable strategies for those of us struggling in the analytical quicksand between day trading and lazy portfolios. Your blog is on my must-read list everyday.

]]> By: Anonymous http://www.mebanefaber.com/2008/04/13/alpha-engines/comment-page-1/#comment-1821 Anonymous Sun, 13 Apr 2008 23:05:00 +0000 http://www.mebanefaber.com/2008/04/13/alpha-engines/#comment-1821 Another great post, thanks a lot. What do you think of the "Opportunistic Rebalancing" method at: http://tinyurl.com/3j36cl<br/><br/>It seems to try utilizing the mean reversion & momentum in the very short term ....<br/><br/>David Another great post, thanks a lot. What do you think of the “Opportunistic Rebalancing” method at: http://tinyurl.com/3j36cl

It seems to try utilizing the mean reversion & momentum in the very short term ….

David

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