On the last page Mendillo had these two rather odd quotes that seem, at least to me, to be a bit contradictory (not to mention something I would have just followed with “Did I just say that out loud?”):
“Overall, our risk management was adequate.”
“We kept the ship righted in a real-life correction that exceeded our most extreme theoretical stress tests.”
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Hulbert on the 200 day SMA. He never mentions in any of his articles that the main feature of a trendfollowing system is risk reduction (vol and drawdown) and not an increase in absolute return. (HT: GA)
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Listed vs. non-listed from AllAboutAlpha.
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I haven’t read any of these reports yet but they look interesting - from QSG.
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Just got back from giving a speech in Portland – I love that town!
qsg link is broken; could you re-post please? thanks
Did you get a Triple Chocolate Penetration at Voodoo Doughnut? If not, turn back now and go get one.
Yes, Re: Hulbert, using “risk-adjusted” returns would be a good start for system comparison.
Does that industry term not bother you btw? (think of the “risk-adjusted” return of LTCM compared to most benchmarks – how great must it have been, while the real risk was going crazy!)
Did you get a Triple Chocolate Penetration at Voodoo Doughnut? If not, turn back now and go get one.
Yes, Re: Hulbert, using “risk-adjusted” returns would be a good start for system comparison.
Does that industry term not bother you btw? (think of the “risk-adjusted” return of LTCM compared to most benchmarks – how great must it have been, while the real risk was going crazy!)