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Politics : Ask Michael Burke -- Ignore unavailable to you. Want to Upgrade?

To: Skeeter Bug who wrote (55290)	4/8/1999 7:00:00 PM
From: BGR	Read Replies (1) \| Respond to of 132070

Skeeter Bug, Michael is wrong. Portfolio theory originated before and independent of Efficient Market Hypothesis. It doesn't need to assume EMH. Try any standard text book in finance for clarification. -BGR.

To: Skeeter Bug who wrote (55290)	4/8/1999 8:30:00 PM
From: Knighty Tin	Read Replies (1) \| Respond to of 132070

Skeets, It is a major assumption in developing the formulae. However, many of the folks who manage the quant funds have then gone back and made assumptions such as, what if we can get superior info once in every ten instances and then developed slightly different models based derived from that barely different assumption. Most of these quant funds have disappeared. Some, like Vanguard's, could never beat their index, so they gave up. What they didn't realize is that you can't beat the average if the people you hire are not paid above average. <g> Others, like Fidelity's, actually beat the indices, but they didn't sell. Anyone dumb enough to buy an index didn't want the enhanced version while smarter folks who wanted superior money mgt. didn't want the indexy feel. Hybrids never satisfy anyone. (This coming from a guy who managed two of the country's largest convertible funds. I been there, done that. <g>) Then, others, such as the horrible funds managed by Barr Rosenberg, one of the great gurus of MPT, don't seem to make money in any market environment. He is mostly doing quantitatively generated paired trades, which is a jump from MPT. However, unlike those of us who have done paired trades for decades, Barr always seems to short the one that is about to go up and buy the one that is about to go down. That, as BGR would say, is a red herring, as it has nothing to do with MPT. However, it does have a lot to do with judging the common sense and real world practicality of the folks who developed and spun the tall tales about MPT. <g> And it sure proves they know zilch about risk in the real world (not the MTV show). MB