Ernie Chan claims that statistical arbitrage is better than momentum like trend

Discussion in 'Strategy Building' started by GloriaBrown, Aug 2, 2013.

  1. tom_czr

    tom_czr

    I wouldnt be so negative about Ernie... I personaly trade statarb and mean reverting strategies only and I havent seen anything better so far... Results are stable even in trending stock markets, because I keep portfolio beta neutral.

    From my point of view it is better to think about markets in Ernies way rather than buy some "WCCI knowledge" from Woodie :D
     
    #61     Jun 19, 2014
  2. Visaria

    Visaria

    Ernie Chan? Woody?

    Who are these people?
     
    #62     Jun 19, 2014
  3. kut2k2

    kut2k2

    Gurus. :eek::p:D
     
    #63     Jun 19, 2014
  4. Personally I believe arbitrage is more powerful and consistent than trend following kind of ways, and most of the FI uses arbitrage more than trend following.
     
    #64     Jul 2, 2014
  5. tom_czr

    tom_czr

    Why do you believe? Do you have proves?
     
    #65     Jul 3, 2014
  6. Arti

    Arti

    Based on your logic every professor at any university is a loser and a failure because he could be cashing out real money somewhere instead of teaching all those "wannabees".

    Genious...
     
    #66     Jul 3, 2014
  7. You can ask Ernie. Personally I dont care what is in your mind.
     
    #67     Jul 3, 2014
  8. cjbuckley4

    cjbuckley4

    Depends on your definition of both probably, but I think stat arb is going to generally show lower variance of returns than momentum strategies. If you can find a consistently stationary relationship to exploit then you will almost certainly be able to predict your duration of drawdown and expected loss with more accuracy than you could with momentum trading. This is just a generalization though for example just simple lower frequency single stock vs stock pairs trading is going to usually have unsuitably high variance of returns in my experience.
     
    #68     Oct 25, 2014
  9. More or less you are correct, at least in most every case. How many of your college professors do you remember to be highly motivated, passionate, and engaged with students? I remember one single one. All others in business school came across as some frustrated individuals who frantically tried to make it to as many conferences and speaking engagement as possible in order to "belong". And most looked jealously at those who started a consultancy on the side. It still was all about money for them. They got paid their 200-400k per year instead of making 10x as much like their fellow alumni working at Wall Street or at law firms. And thats the same with the Krugmans and Roubinis of the world and all other academic "heavy lifters" who would not make a single dime if you asked them to trade short, medium, or long-term (and they are exposed in the exact same way in their investment accounts than your and my grandma). There is ALWAYS a reason someone is selling books and advice rather than just doing what one advises others to do....which leads me back to Ernie Chan ;-)

     
    Last edited: Oct 25, 2014
    #69     Oct 25, 2014
  10. cjbuckley4

    cjbuckley4

    You know that's a dangerous opinion about professors @volpunter , education is important and so is the research they do. It's not all about the money for some people either. I go to school in New York City and a substantial portion of the professors in the Operations Research & Financial Engineering, Math, and especially comp sci departments are former Wall Street employees, some of which even tell us they're trying to repent. In my experience as a student, this culture of complacent ivory tower academics people seem to believe in just doesn't exist. I wouldn't conflate "those who can't do" with "those who teach" so quickly, that said, I wouldn't recommend Ernie Chan's books to anyone but someone just starting out in quantitative trading. There are better resources available, some of which are even textbooks written by professors
     
    Last edited: Oct 26, 2014
    #70     Oct 26, 2014
    kut2k2 likes this.