bump
Lemme know if you have a copy you care to part with - lists for ~$28. . .
i have em all. . . http://cgi.ebay.com/ws/eBayISAPI.dll?ViewItem&item=160018067947
Real Estate Finance - retails $125, ill sell mine for $100. Handbook Alternative Assets - retail $70, sell for $50. or both for $125.
id be happy to sell the level 1 books at discount if anyone is interested PM me. the uppermark studyguides are great too.
Diode, these statements are incorrect: "It's fairly well known that trend-following works in most markets... with the notable exception of...
as far as stocks, there are trendfollowing factors that are predictive of stock returns....and of course factors that are inversely predictive......
surfer: answer is....it depends. adding a managed futures allocation to your portfolio improves the risk adjusted returns for lots of reasons....
the same academic paper i reference a few pages ago that im sure no one read. also check out (i think) the hand book of alternative assets...
i still find it interesting that no one seems to realize that over half of the returns from trendfollowing come from the cash sitting in T-Bills....
ppps mt lucas paper here http://www.edhec-risk.com/site_edhecrisk/public/edhec_publications/RISKReview.2005-02-02.1924
pps. if i were to invest in managed futures trendfollowing, i would use the mt lucas index. i bet it beats most of the managers. . . if you...
ps. also might want to check out all the articles on merriman capital managements website that discuss trendfollowing vs buy and hold for a...
might want to check out the whitepaper, "Does trendfollowing work on stocks?" can be downloaded here:...
the only one you listed that can backtest without bias is P123.
you should find out where he got the data from. if it suffers from those biases, then the backtest is worthless. . .
i have plently of fundamental data. i was curious where your friend got his data, as some of the databases suffer from survivorship and look...
do you want to backtest?
what software are you using. . . and what data vendor did the data come from?
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