tag:blogger.com,1999:blog-7905515.post1235578011586988856..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Index Additions/Deletions Make for Interesting StrategyEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-7905515.post-9494876494701741082008-06-01T14:47:00.000-05:002008-06-01T14:47:00.000-05:00When looking for quantitative trading rules, no on...When looking for quantitative trading rules, no one knows if you're a dog!<BR/><BR/>http://www.unc.edu/depts/jomc/academics/dri/idog.htmlEric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-18389756240535847142008-06-01T13:44:00.000-05:002008-06-01T13:44:00.000-05:00When Israel was upgraded from´developing¨ to ¨deve...When Israel was upgraded from´developing¨ to ¨developed¨, there was a lot of debate if it was good or bad. The result, maybe as consequence of the debate, were, as you say, muddled. Tradable market anomalies are worth something if there are unknown. But everyone and his robot dog are constantly searching for them.Jhttps://www.blogger.com/profile/05676167615981895061noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-7813633171837793262008-06-01T13:27:00.000-05:002008-06-01T13:27:00.000-05:00What are the criterion for adding/deleting to the ...What are the criterion for adding/deleting to the Russell 2000? Is buying the deletes some kind of contrarian/value strategy? A small cap strategy?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-24336661421184505552008-06-01T12:43:00.000-05:002008-06-01T12:43:00.000-05:00The desk (not an Investment Bank) I work on has be...The desk (not an Investment Bank) I work on has been pretty active on the Russell 2000 trade the past two years. Two years ago it was very spectacular and last year they say it was moderately successful. Before that, they said it wasn't that great. The big thing that we'll be looking for is the imbalances the specialists are holding. What they have done in years past is to go long anything with a buy imbalance and short anything with a sell imbalance and then market on close to get out of the position. It's only really that risky if you use a ton of leverage.Kirzner Fervorhttps://www.blogger.com/profile/05460100352666363219noreply@blogger.com