Search found 68 matches
- Tue Feb 07, 2012 2:15 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
- Mon Feb 06, 2012 5:15 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
For what it's worth, here is a link to the (sort-able) 10 year performances of all CTAs reporting to Barclay Hedge who also have a minimum of 10 years of performance history. I also used only USA based CTAs here for the purposes of speed and uniformity (I am suspicious of some non-USA based CTAs tha...
- Mon Feb 06, 2012 12:38 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
- Mon Feb 06, 2012 11:51 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve ...
- Sun Feb 05, 2012 4:06 pm
- Forum: Trend Indicators and Signals
- Topic: Jim Simons
- Replies: 15
- Views: 45262
With regard to the mathematicians, it looks like they quickly learn the laws of marketing as well. Their task as successful hedge fund managers is to make people believe they have something special, the key to the secret misteries nobody else has. So, I believe that their interviews are just bullsh...
- Sun Feb 05, 2012 3:29 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
Ahh yes, the beautiful art that can painted with the perspective of past performance…..Makes one wonder what the likes of a Picasso, Van Gogh or Dali could have created with such tools~~~ For those feeling enchanted by these museum worthy pieces START HERE ……..If it’s too late and you’ve a...
- Fri Feb 03, 2012 10:02 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 58132
- Fri Feb 03, 2012 8:04 am
- Forum: Futures Markets
- Topic: US Residents Can't Trade Foreign Futures?!!
- Replies: 21
- Views: 13609
Can you list some alternatives? I trade quite a few atypical markets (IE Malaysian Palm Oil, Japanese Rubber, Kerosene) and I am currently executing at 5 FCMs, of which 4 have been just fine. 1. RJO - Excellent (slightly irritated I can't place market on open orders, but service has gone beyond exp...
- Fri Feb 03, 2012 6:34 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 58132
- Fri Feb 03, 2012 3:58 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 58132
A common psychological mistake people make is to think that since X doesn't appeal or apply to them, it must not have much merit. While someone may not use FB, there are 800M accounts, many of which are active. Look at the stats on how long people spend on Facebook when they do use their accounts.....
- Thu Feb 02, 2012 1:41 am
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 58132
neither of them are worth 10% of their market cap its a bubble and like every bubble before them they will pop the market learned nothing from 1999 HUH? 10% of Google's market cap would make it worth roughly 18 billion..They had nearly 40 billion in revenue last year.... [img]http://node_charts_pro...
- Wed Feb 01, 2012 9:51 pm
- Forum: Market Psychology
- Topic: Facebook IPO, I just don't "get it"
- Replies: 53
- Views: 58132
Facebook IPO, I just don't "get it"
Is it just me, or does anyone else not fully understand the Facebook phenomenon either? Am I just sour grapes, jealous of another’s success?? Comparisons are often made between Facebook and Google and the David and Goliath battle they are in for Internet dominance, but from my perspective Facebook...
- Wed Feb 01, 2012 2:15 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
Dean, There is something funky with those numbers. For example, if the data is for 5 years of returns, there are several entries where the compounded return is positive but the Sharpe is negative. Since arithmetic return is always greater than geometric (i.e. if compounded return is positive then a...
- Tue Jan 31, 2012 1:22 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
Dean thanks for sharing your thoughts in your blog (as linked above) I’m wondering if I am reading the tables and graphs correctly since the 2007-2011 values differ from table to graph For Emory Partners; The table ‘says’ 2002-2006 sharpe ratio = 1.48 and the 2007-2011 sharpe ratio = -0.02 Th...
- Mon Jan 30, 2012 1:27 pm
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
- Mon Jan 30, 2012 5:04 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
- Mon Jan 30, 2012 2:41 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
- Mon Jan 30, 2012 12:30 am
- Forum: Testing and Simulation
- Topic: Musings on (worthless) Past Performance
- Replies: 83
- Views: 40796
Musings on (worthless) Past Performance
I was working on a blog post today and whipped together a few tables and charts I thought might be of interest to some. The general theme was to prove the worthlessness of most past performance statistics for CTAs. Primary target was the Sharpe Ratio, and frankly this tends to cover them all anyway....
- Mon Jan 09, 2012 4:38 pm
- Forum: Money Management
- Topic: Is Modern Portfolio Theory Dead?
- Replies: 22
- Views: 24214
- Wed Dec 21, 2011 12:23 pm
- Forum: Testing Software
- Topic: Cool Free Data Mining Software
- Replies: 4
- Views: 6312
Cool Free Data Mining Software
Here is an interesting piece of data-mining freeware from a pair of Harvard and MIT students that helps find meaningful relationships in data. Data Mining Software Here is an introductory video about it: MINE Software Introduction I used it to find a lot of intriguing relationships in a 50,000 data ...