tag:blogger.com,1999:blog-7905515.post8647548646190533996..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: AQR on Making Low Vol BetterEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-7905515.post-47422206228291378402012-11-01T08:29:33.367-05:002012-11-01T08:29:33.367-05:00Attacking a spelling error when the issue was a th...Attacking a spelling error when the issue was a thinking/content error is pathetic. Spelling disqualifies one from nothing. The moronic invocation of Shannon while not understanding the basic argument, but feeling you had to post, and then attacking a spelling error, disqualifies you from honor and respect.<br /><br />If you're two different people, cool, two fools.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-48550093052573720022012-10-31T19:00:13.866-05:002012-10-31T19:00:13.866-05:00Eric
You said value "persisted" - not th...Eric<br />You said value "persisted" - not that it persists.. Do you think value no longer works as a risk premium? I have some doubts that accademics overstate it due to ignoring the illiquidity of the cheapest, smallest stocks when grouped into deciles. Eg. http://greenbackd.com/2011/06/21/an-examination-of-the-profit-and-value-strategy/<br /><br />You also failed to mention that Andrea has combined low price vol with low fundamental vol (ie. ecomic beta) which I felt was a novel element to their approach. Any thoughts on this?<br />Regards<br />SteveStevenoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-8859121977686224282012-10-30T20:26:37.574-05:002012-10-30T20:26:37.574-05:00Anonymous,
Misspelling "highly" is ignor...Anonymous,<br />Misspelling "highly" is ignorant and disqualifies you from this conversation.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-1558209570080468452012-10-29T18:53:57.127-05:002012-10-29T18:53:57.127-05:00Didn't notice that you dropped Claude Shannon&...Didn't notice that you dropped Claude Shannon's name whlie misunderstanding this whole discussion.<br /><br />I take it back, you aren't just ignorant.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-31125756735950717172012-10-29T18:53:00.216-05:002012-10-29T18:53:00.216-05:00Saying value cannot be automated is an ignorant st...Saying value cannot be automated is an ignorant statement and disqualifies you from this conversation.<br /><br />We are all only talking about highyly rule-based simple systematic strategies, including value.<br /><br />Go post on the Buffet-is-God boards.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-58702912971735077752012-10-29T14:39:25.101-05:002012-10-29T14:39:25.101-05:00Volatility is just statistical analysis of the his...Volatility is just statistical analysis of the historical price, and easy to automate, no? <br /><br />The difference is that "value" requires judging the intrinsic value of the operation, which is time consuming, and skilled. <br /><br />So Value investing cannot be automated. <br /><br />(And skilled labour is in short supply, so the minimum return from value has a floor, which is the wage the analyst/investor could earn elsewhere.)<br /><br />To take a liberty, and paraphrase a comment of mine from an earlier thread: <br /><br />We can turn the information (in Shannon's sense - raw data) into knowledge by expending effort to discover patterns in it (E.g., be the first to discover momentum, or "vol of vol").<br /><br />Since this requires effort, you may for a while be the only one who knows of the pattern, and you can trade on it.<br /><br />But once three people have expended that effort, you can't make much money trading it any more because you are bidding aganst them. (The new floor is the running cost of the automatic trading system.)Bennoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-8215214454380733772012-10-29T13:15:00.405-05:002012-10-29T13:15:00.405-05:00Well, you could say the same thing about value, wh...Well, you could say the same thing about value, which persisted. Momentum perhaps is an example of something that went away. Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-75243311923444647112012-10-29T13:12:59.838-05:002012-10-29T13:12:59.838-05:00Of course, now this fact about volatility has been...Of course, now this fact about volatility has been discovered and is widely known, it can be packaged in such a way as to make money reliably. (That's the pitch anyway).<br /><br />But since it is now widely known (or becoming so), surely everyone and his dog will pile on, and bid away the excess profits?Bennoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-46952268546482735472012-10-29T11:44:00.130-05:002012-10-29T11:44:00.130-05:00My guess is that the fairly high management fees f...My guess is that the fairly high management fees for these AQR funds will eat up whatever benefit they purport to provide.Anonymousnoreply@blogger.com