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Ghost of Igloi wrote:
The current GAAP P/E ratio is 24.17. This is the highest GAAP PE ratio since September 2009.

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Big Dog Investments wrote:
All three major indices finish in the green for May. Life is good!

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All of these results, over such a large study period, pose a significant challenge to the random walk hypothesis, assumptions about the normal distribution of stock returns and elements of the efficient market hypothesis. The relevance and persistence of momentum despite the significant academic research documenting its existence for over 25 years (and practical journals or newspaper articles for over 100 years) is an ongoing puzzle. Practically, this suggests money managers will continue to develop and exploit simple and complex momentum rules until exhaustion is reached within the 12-month momentum bound (which practitioners often view as the mark-to-market window for performance and compensation measurement). Until that point is reached, we expect hedge funds, mutual funds or exchanged traded funds utilizing “smart†beta 25 products and algorithmic trading rules to grow until a tipping point is reached to reduce
momentum’s enduring effect.

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Ghost of Igloi wrote:
"Before Pandora's Box bursts open a third time, test your tools against available data, then choose your weapon."

--John Hussman, 5/31/2016

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coach d wrote:
OK, Igy, here's my weapon, and it's a doozy. This is an explosive paper published in January of this year by NYU Stern:

http://poseidon01.ssrn.com/del...20&EXT=pdf

See Panels A and B on page 29. The advantages over time in favor of what they call time series momentum (what the rest of us call trend following) are so large, that there's no reason to even argue the point. And in the conclusion...

All of these results, over such a large study period, pose a significant challenge to the random walk hypothesis, assumptions about the normal distribution of stock returns and elements of the efficient market hypothesis. The relevance and persistence of momentum despite the significant academic research documenting its existence for over 25 years (and practical journals or newspaper articles for over 100 years) is an ongoing puzzle. Practically, this suggests money managers will continue to develop and exploit simple and complex momentum rules until exhaustion is reached within the 12-month momentum bound (which practitioners often view as the mark-to-market window for performance and compensation measurement). Until that point is reached, we expect hedge funds, mutual funds or exchanged traded funds utilizing “smart†beta 25 products and algorithmic trading rules to grow until a tipping point is reached to reduce
momentum’s enduring effect.

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Basically what they're saying is that people promoting buy-and-hold and passive investment strategies, including people like Fama, Malkiel, and Siegel don't know what the hell they're doing, given that there has been evidence that what these people have been selling in the political sense has been wrong for 25 years. I take it that professors of finance, economists, and business schools are still promote this garbage because they don't know how to invest.

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agip wrote:



this is nothing new - it has been known for a long time that there are strategies that beat the market on paper.

-momentum
-value
-small stocks
-cheap stocks
-consumer staples stocks
-dividend increasers

over a long period of time, studies have shown that these work. BUt they don't work all the time. For 1,3,5 even 10 year periods they won't work. Then people try to improve on them, which blows the strategy.

Jim O'shaughnessy backtested hundreds of strategies and found many that beat the market. THe problem is making them work in real life. He hasn't been able to, really. Maybe the past 20 years have been anomalous. Maybe there is some other reason.

but the fact is, indexed investing has worked better than probably 90% of strategies. And it is dirt simple.

If momentum worked in the real world, trillions of dollars would chase it, and it would stop working, as the quote you pulled out says. The disasters that are hedge funds today are examples of how it doesn't always work.

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