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« Enhancing Trader Performance by Brett N. Steenbarger | Main | Recognizing Expertise »

February 11, 2007

Comments

Bill a.k.a. NO DooDahs!

This points out one advantage of the multi-strategy approach, provided that the detrended equity curves of the strategies are uncorrelated and that the portfolio is rebalanced. If the strategies in question are close to each other in terms of total return, then the combination may provide actual improvements in total return instead of just reduction of risk.

Deviation from rational valuation methods is indeed a measure of sentiment. This applies to individual stocks as well ("value" investing).

RB

Look forward to the rest. In a synchronous global economy where there is a flight to safe assets at the end of the cycle, one could perhaps expect valuations to return to trend in accordance with the Fed model.

Jason Ng

Nice article. I find that every trading strategies or systems has its own cycles too. It cannot be expected for any systems to have a homogenous performance throughout the year as the stock market is not homogenous too. A reliable system should therefore be evaluated on its annual net returns instead of whether it seems to be waning or not.

This is, of course, true only for systems that are created for every market conditions. I have seen systems created only for the good old pre-2000 bull market which completely collaspe in this volatile market condition today.

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