tag:blogger.com,1999:blog-7905515.post636170344958532839..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Acadian Has New Low Vol PaperEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7905515.post-75786273493608345102013-02-06T08:26:47.099-06:002013-02-06T08:26:47.099-06:00yeah, branding and connections are very important ...yeah, branding and connections are very important to this business, so it's obtuse to be a prig about truth.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-23803947669884128302013-02-05T13:58:14.536-06:002013-02-05T13:58:14.536-06:00A relatively simple, market beating strategy is pr...A relatively simple, market beating strategy is probably only in danger of becoming a commodity if it delivers consistently and within a fairly short time frame. There are plenty of old school value guys who have a pretty simple methodology and a good long term record even when including longish periods of underperformance. The problem is many investors have little to no tolerance for longish periods of underperformance. I’d bet that a surprising number of people would decline an absolute certainty of a 10yr outperformance number if they had to endure seven years of underperformance in the middle.<br /><br />And no matter what you’re marketing it probably helps to have some sort of personal mythology behind your strategy too. All else being equal a certain…Levantine mystique probably trumps the family guy from Minnesota thing. Can’t you make a splash by crashing the currency of a small country or something?<br />Mercurynoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-20103880506141778332013-02-05T12:02:00.377-06:002013-02-05T12:02:00.377-06:00a) The negative slope is not highly statistically ...a) The negative slope is not highly statistically significant vs. a flat slope. The flat slope is in fact highly statistically significant vs. the slope the CAPM says it should be. Seems like focusing on the negative slope isn't a good idea.<br /><br />b) Nobody says there's only one explanation, so saying "so and sos explanation" cannot fit a negative slope is unproductive, even if the negative slope was more statistically significantly negative. If something like leverage aversion can explain a much flatter slope, it's very possible it's PART of the story, or all of the story (and the negative slope an lucky draw). Of course I can't prove that any better than you can prove your assertions, but again, the negative slope proves little.Anonymousnoreply@blogger.com