Comments on: Market Efficiency

By: macclary

macclary — Sun, 26 Jul 2009 05:44:42 +0000

Interesting paper "Value and Momentum Everywhere"; authors suggest that rather than operating efficiently the market swings between favoring value and momentum strategies. "We study the links between value and momentum strategies universally across asset classes and their
connections to global macroeconomic and liquidity risks."

http://papers.ssrn.com/sol3/papers.cfm?abstract...

By: macclary

macclary — Sun, 26 Jul 2009 00:44:42 +0000

By: Jim

Jim — Thu, 16 Jul 2009 21:34:53 +0000

AlanPendleton's point about the good Investars showing does seem to suggest some edge. Though note the VERY high turnover of the Investars portfolio and the fact that they don't factor in trading costs or frictions.

By: Carl

Carl — Sun, 28 Jun 2009 13:56:33 +0000

Hi Meb,

So, what do you believe is key to finding a sustainable edge? ("Don't publish once you find it" doesn't count as an answer). Maybe this would be a good survey question.

Thanks,
Carl

By: John

John — Fri, 26 Jun 2009 13:17:11 +0000

Are there any ETFs which track these highly rated multi factor stocks. I think there is the Hennessey mutual funds and Wisdom Tree dividend ETFs?

By: toptick

toptick — Thu, 25 Jun 2009 13:37:04 +0000

Table 1 (T-statistics on the most significant factors) shows that the predictive power of the factors has been dropping over time (even adjusting for the fact that the last period is 5 years and so has fewer samples than the previous 10-year periods). See Zhijian Huang's papers “Real-Time Profitability of Published Anomalies” (or 'momentum of anomalies' as I call it)

By: AlanPendleton

AlanPendleton — Wed, 24 Jun 2009 19:55:26 +0000

What is the edge? Good question. Haugen has been publishing his methods since 1996 at least. There shouldn't be an edge after this many years. But according to Investars, Haugen's firm is top rated in the Quantitative category for most time periods, including the 3 month period ending yesterday — up 38% vs 11% for S&P. I suspect the paper describes what he was doing last year, and leaves out a detail or two about what he is doing this year.