Academic Papers

日期:2014/05/13

There is something like the keech cult in many academic papers about systems. Many of them don't work in the real world. The more they don't work in the real world, the more the academic papers with titles like "is momentum really momentum?" or "the disposition to ride winners too long—" or "investing with style" or "value and momentum everywhere" or "dissecting anomalies" or "251 years of price momentum" or "the world's longest back test" exist. There seems to be no awareness of the principle of ever changing cycles to explain why things like fama french discovered in 1992 with retrospective compustat data, don't work in practice. Similarly why momentum strategies will reach a peak before a year like 2008 when they lose 85 percentage points relative to neutral.



The Initiation Period

The more the performance of a system lags behind buy and hold, the greater the initiation period that is necessary or that evolves like the initiation into cults like those in Florida or other "societies" to teach you not to divest, and to hold through the good and bad. In many "societies" the initiation periods costs you money, which is shared by those at the higher level, but to the credit of many funds, the only thing you lose by the initiation period is time, and opportunity cost of buying the Spyder or some such which outperforms in the real life once the academic papers behind them can waft out of boot hill.