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#1
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Re: Good investing paper on mutual funds and alpha
I'm surprised there are not more comments. People always want a fairly easy, quick way to make a buck and you can get this info from HF and MF disclosures which are all public, and now all on the web.
90% of investors would do better if they simply looked at MF and HF buys and sells. [either following, or waiting for total puking and then swooping in.] |
#2
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Re: Good investing paper on mutual funds and alpha
[ QUOTE ]
I'm surprised there are not more comments. People always want a fairly easy, quick way to make a buck and you can get this info from HF and MF disclosures which are all public, and now all on the web. 90% of investors would do better if they simply looked at MF and HF buys and sells. [either following, or waiting for total puking and then swooping in.] [/ QUOTE ] the paper is really well done. one quick correction is that the sells aren't nearly as strong as the buys in forcasting future year returns. looking at strongly performing hedge funds and mutual funds should be able to generate a portfolio that consistently outperforms the market according to this research. a good sign is that, according to the authors, it seems that the private info that leads to the managers' decisions is a result of fundamental research that persists even after trying to control for a number of quantitative signals and momentum signals. Barron |
#3
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Re: Good investing paper on mutual funds and alpha
this looks like an interesting strategy, I'm gonna look into it
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#4
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Re: Good investing paper on mutual funds and alpha
[ QUOTE ]
[ QUOTE ] I'm surprised there are not more comments. People always want a fairly easy, quick way to make a buck and you can get this info from HF and MF disclosures which are all public, and now all on the web. 90% of investors would do better if they simply looked at MF and HF buys and sells. [either following, or waiting for total puking and then swooping in.] [/ QUOTE ] the paper is really well done. one quick correction is that the sells aren't nearly as strong as the buys in forcasting future year returns. looking at strongly performing hedge funds and mutual funds should be able to generate a portfolio that consistently outperforms the market according to this research. [/ QUOTE ] Yes, well, we already had research that proved momentum in MF outperformance is persistent and you can earn free alpha from that. This is just more icing on the cake....no, an extra cake! |
#5
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Re: Good investing paper on mutual funds and alpha
[ QUOTE ]
Yes, well, we already had research that proved momentum in MF outperformance is persistent and you can earn free alpha from that. This is just more icing on the cake....no, an extra cake! [/ QUOTE ] Well, let's not get ahead of ourselves. Finding a statistically significant relation between past and present outperformance doesn't indicate evidence on how likely it is to pick a single outperforming fund manager (or even N outperforming fund managers) and betting on them. So while the evidence suggests/indicates that, on average, outperformers continue to outperform, there's a lot of noise in that data and I'd guess you'd have to get a good deal of diversification across those funds before you were likely to outperform. |
#6
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Re: Good investing paper on mutual funds and alpha
[ QUOTE ]
[ QUOTE ] Yes, well, we already had research that proved momentum in MF outperformance is persistent and you can earn free alpha from that. This is just more icing on the cake....no, an extra cake! [/ QUOTE ] Well, let's not get ahead of ourselves. So while the evidence suggests/indicates that, on average, outperformers continue to outperform, there's a lot of noise in that data [ QUOTE ] No, there is not. [ QUOTE ] and I'd guess you'd have to get a good deal of diversification across those funds before you were likely to outperform. [/ QUOTE ] This is also false. Stop responding to proven investing algorithms and methods of alpha-generation with 'your guesses.' Write your own paper and get it published and get famous by proving Roger Ibbotson wrong and get wealthy, or start a company like he did, do the opposite of his 'incorrect' strategies and make $tens of millions. |
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