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lmog


Total Posts: 116
Joined: Mar 2010
 
Posted: 2016-05-18 07:23
I thought this was a great book. Honestly presented (there is no magic way formula to deal with variance, noise, uncertainty). A good one stop shop for a lot of stats and explains things in a way that you don't have to be trained in economics to udnerstand. My complaints:

The "cube" metaphor is a case study in poor technical illustration. Reading the sides is hard (and lower contrast) and offers no clarity. It reminds me of the cover to "Red Blooded Risk". Who let that go through?

When you really get to the meat, e.g. why does momentum trading supposedly work, you aren't left with a very satisfied belly (not that the world owes us anything). His conclusion (if I read correctly) is that it could be a data mirage or it could be irrational investors...I see the same shrug every time I read a paper on why technical analysis *seems* to work. In fact, I'm willing to make a bet that essentially every naive strategy has been demonstrated to work with various weak reasons like what Ilmanen suggests.

Has anyone done a good meta analysis that would show that things like publication bias make it look like there are far more naive trading strategies that work than those that don't?

agentq


Total Posts: 23
Joined: Jul 2008
 
Posted: 2016-05-24 00:54
"Has anyone done a good meta analysis that would show that things like publication bias make it look like there are far more naive trading strategies that work than those that don't?"

off the top of my head--

Alternative Risk Premia - a recent survey of the premia/factor farms that are all over the place now
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2757113

Harvey & Liu have a couple
http://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P118_and_the_cross.pdf
http://ssrn.com/abstract=2528780

This one is a bit different in that it focuses on post-publication decay (which pre-supposes somewhat that there was alpha to begin with)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2156623

Finally there was the recent point/counterpoint from Arnott & friends and Asness re: whether all smart beta strategies are actually data-mined. Some interesting points:
https://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/442_How_Can_Smart_Beta_Go_Horribly_Wrong.aspx

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763956






lmog


Total Posts: 116
Joined: Mar 2010
 
Posted: 2016-05-24 02:56
Great links! Those clarified my understanding of Cliff's views on the issue.
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