Anyone have anything else good for my redeye flight tonight?
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
75% of funds have zero alphas, 24% of the funds had negative alphas, and you can do the math on the rest. . .
Abstract:
This paper develops a simple technique that controls for “false discoveries,” or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We find that 75% of funds exhibit a zero alpha (net of expenses), consistent with the Berk and Green (2004) equilibrium. Further, we find a significant proportion of skilled (positive alpha) funds prior to 1996, but almost none by 2006. We also show that controlling for false discoveries substantially improves the ability to find funds with persistent performance
If you like quantative analysis you might try “Inside the Black Box–The Simple Truth about Quantative Trading” by Rishi Narang, a book by Wiley, just out about Sept. 14. Next Red-eye maybe?
“Value and Momentum Everywhere” Value and momentum ubiquitously generate abnormal returns [across assets] within several countries…
http://papers.ssrn.com/sol3/papers.cfm?abstract...
There are some interesting articles here, might be worth grabbing for offline reading.
http://www.cxoadvisory.com/blog/internal/blog-m...
http://www.cxoadvisory.com/blog/internal/blog-v...
Typical academics … they don't tell you who the 1% are. The most depressing line in the paper is this one: “we observe that the proportion of skilled funds decreases from 14.4% in 1990 to 0.6% in 2006.” Alpha is becoming increasingly rare.
I'm not sure the names of the 1% would be important. 2007-8 were defining years. By now the authors have added those results and have run the full set through the computer. At best, you'd have to hire one as a consultant. Knowledge -> money -> power.
In the August 11th-2009 posting you mentioned the subject of lumber prices. I will offer just this one comment, as a single, fairly uninformed data point, concerning current prices of dimensional lumber at the lumber yard (stuff like 2×4's, etc). This (probably) has virtually nothing to do with the larger subject of the lumber industry at large, but is offered as just one single “moment in time” observation. I have a little familiarity with dimensional lumber prices. My observationn: A couple days ago (about August 25 or so) I was at the local lumber yard (Minneapolis Minnesota area). The prices seemed to me to be VERY low, compared to the past. I was amazed at how inexpensive these pieces of wood were. That's my observation. Thank You.
In the August 11th-2009 posting you mentioned the subject of lumber prices. I will offer just this one comment, as a single, fairly uninformed data point, concerning current prices of dimensional lumber at the lumber yard (stuff like 2×4's, etc). This (probably) has virtually nothing to do with the larger subject of the lumber industry at large, but is offered as just one single “moment in time” observation. I have a little familiarity with dimensional lumber prices. My observationn: A couple days ago (about August 25 or so) I was at the local lumber yard (Minneapolis Minnesota area). The prices seemed to me to be VERY low, compared to the past. I was amazed at how inexpensive these pieces of wood were. That's my observation. Thank You.