Mish's Global Economic Trend Analysis Message Board

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Strategies & Market Trends : Mish's Global Economic Trend Analysis

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To: shades who wrote (52915)	6/28/2006 7:44:45 PM
From: Moominoid	Read Replies (1) of 116555

I know that educated people didn't think the world was flat. These are the average monthly returns for the MSCI All Country Gross Index in USD from 1997 to date: October 2.20% November 3.22% December 2.34% January 0.20% February 0.04% March 1.02% April 1.60% May 0.17% June 0.76% July -0.66% August -2.06% September -1.51% OK so let's take out 1998. October 1.43% November 2.90% December 2.08% January -0.03% February -0.72% March 0.66% April 1.67% May 0.40% June 0.65% July -0.75% August -0.57% September -1.94% Makes some difference, but not a whole lot. I haven't read their paper or have the data to hand to test the same period. But clearly the 1998 outlier mainly affects August in this more recent period. Anyway, all I know is I have a positive alpha. Some people make a living from trading as individuals, and I have backtested my new model pretty rigorously. The forecasts meet standard statistical significance tests of correlation with the actual outcomes. And the backtesting shows that it can beat the market. These are facts and so your theorizing won't convince me. The main thing that makes it win in all market conditions now is stop loss orders that prevent significant losses when it is wrong. Otherwise it does great in bear markets and lousily in bull markets. I'll take a look at the paper and see if I can pull it apart. The guy is an expert on financial markets from his publications but only published two papers in the last decade. I just checked the citations to the paper they are commenting on and found two more papers published more recently that find strong evidence of stock market pricing anomalies. One was also published in AER and has already been cited 10 times. The popular topic now is testing the effect of the weather on stock prices.

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