Comments on: Victor Niedheroffer’s Review of My Paper: “A Worthless Article” http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/ 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: salvadorveiga http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-4536 salvadorveiga Sun, 16 May 2010 19:57:53 +0000 http://www.mebanefaber.com/?p=1921#comment-4536 Ah Victor Niederhoff... He thinks it's worthless... maybe it wouldn't have been so worthless to his investors, which he has blown up 3 times already...<br><br>What good is to be able to outperform the market, if in the end you may lose 100% ?<br><br>He should look more into his risk management... I cannot conceive how these guys that blow up funds after funds, can try to discredit any other strategies that go against their views... Sigh Ah Victor Niederhoff… He thinks it's worthless… maybe it wouldn't have been so worthless to his investors, which he has blown up 3 times already…

What good is to be able to outperform the market, if in the end you may lose 100% ?

He should look more into his risk management… I cannot conceive how these guys that blow up funds after funds, can try to discredit any other strategies that go against their views… Sigh

]]> By: salvadorveiga http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-4051 salvadorveiga Sun, 16 May 2010 14:57:53 +0000 http://www.mebanefaber.com/?p=1921#comment-4051 Ah Victor Niederhoff... He thinks it's worthless... maybe it wouldn't have been so worthless to his investors, which he has blown up 3 times already...<br><br>What good is to be able to outperform the market, if in the end you may lose 100% ?<br><br>He should look more into his risk management... I cannot conceive how these guys that blow up funds after funds, can try to discredit any other strategies that go against their views... Sigh Ah Victor Niederhoff… He thinks it's worthless… maybe it wouldn't have been so worthless to his investors, which he has blown up 3 times already…

What good is to be able to outperform the market, if in the end you may lose 100% ?

He should look more into his risk management… I cannot conceive how these guys that blow up funds after funds, can try to discredit any other strategies that go against their views… Sigh

]]> By: wkevinw http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3140 wkevinw Fri, 06 Nov 2009 02:57:26 +0000 http://www.mebanefaber.com/?p=1921#comment-3140 A lot of similar timing systems, at least in the stock market are similar. Really what you accomplish is to get with the trend most of the time. When the outliers come that are multi-year, you are in most of the time. <br><br>A few gurus made most or all of their out-performance for a decade or more during the '80's by not being long stocks during the '87 crash and long most of the other times. That's all it takes, and it is systematic (can be modeled). A lot of similar timing systems, at least in the stock market are similar. Really what you accomplish is to get with the trend most of the time. When the outliers come that are multi-year, you are in most of the time.

A few gurus made most or all of their out-performance for a decade or more during the '80's by not being long stocks during the '87 crash and long most of the other times. That's all it takes, and it is systematic (can be modeled).

]]> By: quant http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3133 quant Thu, 05 Nov 2009 15:26:43 +0000 http://www.mebanefaber.com/?p=1921#comment-3133 I liked Niederhoffer's books, too, especially the first one, and his attack on your paper does seem unreasonable. One can see from Niederhoffer's writings that he prefers mean reversion over trend-following strategies (and there are time frames where mean-reversion has worked), so I think he is inclined to bash trend-following strategies such as yours. I liked Niederhoffer's books, too, especially the first one, and his attack on your paper does seem unreasonable. One can see from Niederhoffer's writings that he prefers mean reversion over trend-following strategies (and there are time frames where mean-reversion has worked), so I think he is inclined to bash trend-following strategies such as yours.

]]> By: Nick http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3124 Nick Wed, 04 Nov 2009 23:54:06 +0000 http://www.mebanefaber.com/?p=1921#comment-3124 Your article is definitely the most read SSRN article in the last year. But the most read academic? How do you know that? Your article is definitely the most read SSRN article in the last year. But the most read academic? How do you know that?

]]> By: WorldBeta http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3122 WorldBeta Wed, 04 Nov 2009 17:51:09 +0000 http://www.mebanefaber.com/?p=1921#comment-3122 <a href="mailto:mf@cambriainvestments.com" rel="nofollow">mf@cambriainvestments.com</a> mf@cambriainvestments.com

]]> By: UpperEastSideDork http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3121 UpperEastSideDork Wed, 04 Nov 2009 17:49:22 +0000 http://www.mebanefaber.com/?p=1921#comment-3121 I've done a lot of simulation on your system with my prop data. I can't post graphs here, but if you send me your email, I'll send them. I also looked at other asset classes on the same basis. I've done a lot of simulation on your system with my prop data. I can't post graphs here, but if you send me your email, I'll send them. I also looked at other asset classes on the same basis.

]]> By: MichaelGoode http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3120 MichaelGoode Wed, 04 Nov 2009 16:05:32 +0000 http://www.mebanefaber.com/?p=1921#comment-3120 I think Victor could stand to learn something about reducing risk ... maybe he should have re-read the paper. I think Victor could stand to learn something about reducing risk … maybe he should have re-read the paper.

]]> By: thetechnicaltake http://www.mebanefaber.com/2009/11/04/victor-niedheroffers-review-of-my-paper-a-worthless-article/comment-page-1/#comment-3119 thetechnicaltake Wed, 04 Nov 2009 15:59:23 +0000 http://www.mebanefaber.com/?p=1921#comment-3119 Mebane:<br><br>Congrats on the success of the paper; my only concern regarding the model is that one outlier trade in the S&P500 accounted for a significant amount of profits; I think this was one of the trade in the 1990's. Curious to hear your thoughts on this.<br><br>Other than that, your point is very well taken; you achieve equity like returns with bond like risk. Or to put another way, avoid losing money! Thanks for all your work Mebane:

Congrats on the success of the paper; my only concern regarding the model is that one outlier trade in the S&P500 accounted for a significant amount of profits; I think this was one of the trade in the 1990's. Curious to hear your thoughts on this.

Other than that, your point is very well taken; you achieve equity like returns with bond like risk. Or to put another way, avoid losing money! Thanks for all your work

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