Comments on: Momentum sans hindsight http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/ A slice of lime in the soda Sun, 26 Oct 2014 19:05:02 +0000 hourly 1 http://wordpress.org/?v=4.2.5 By: TinyTim1 http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18635 Tue, 21 Sep 2010 14:46:58 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18635 I think this is how Steve Jobs asks for his options allocation.

Unfortunately, not a strategy particularly available to the man on the street.

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By: TFF http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18600 Mon, 20 Sep 2010 23:05:38 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18600 DanHess, didn’t the mutual fund industry get in trouble for something like that? Though this “study” takes it to a whole new level! :)

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By: DanHess http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18564 Mon, 20 Sep 2010 18:44:06 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18564 This makes perfect sense. If this has been an up month, would I like to go back in time and buy 15 days before the end of the month? Why yes, I would!

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By: callistenes http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18559 Mon, 20 Sep 2010 18:36:08 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18559 Shedding no tiers, tranche-ing no wounds

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By: callistenes http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18556 Mon, 20 Sep 2010 18:34:04 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18556 Ah, I tried to do it with the monthly closings of the SP 500
from Jan 2008 till August 2010 and didn’t see out performance so now we know why. I tried long then out (on neg) as well.

Thanks, Callistenes

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By: ckbryant http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18555 Mon, 20 Sep 2010 18:31:43 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18555 Oh. My. God.

I knew that study stank to heaven, not least because it tried to pass off something that might be called “counter-momentum” as a “value” strategy for its strawman. (No value strategy in the history of time has ever been based on a one-month technical analysis of price movement. So you know you’re dealing with an idiot or a con man right out of the gage.) But this….this just defies all belief.

A model that cheats the numbers by letting you buy or sell on the 15th based on the price as of the 30th…what is the word for that? No one should ever listen to this jerk Haldane about anything, ever again. He should be drummed out of his profession.

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By: Teresa_Lo http://blogs.reuters.com/felix-salmon/2010/09/20/momentum-sans-hindsight/comment-page-1/#comment-18545 Mon, 20 Sep 2010 17:38:29 +0000 http://blogs.reuters.com/felix-salmon/?p=5422#comment-18545 Many thanks to you for writing this up and to Michael Stokes for crunching the numbers.

Theodore Wong’s research, which has been used by many to “prove” that moving averages are effective timing signals, used the Shiller data as well:
http://www.advisorperspectives.com/newsl etters09/Moving_Average-Holy_Grail_or_Fa iry_Tale-Part3.php

I pointed this flaw to my clients, and now we know how large the difference is …. well done!

Teresa Lo
Founder
InvivoAnalytics.com

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