I think they do a pretty good job of data mining but kill many canaries along the way. :-)
I do like the premise of some type of momentum wrap around a PP core though where the momentum leaders get extra weighting.
0.88 Sharpe (last 35 yrs)
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I Shrugged
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Re: 0.88 Sharpe (last 35 yrs)
I had a real good run but only say 10 years, with a low Sharpe ratio. I didn't have such a well defined system. Mine was to buy beaten down stock market sectors, and hold them till they went up enough. Rinse and repeat. It seems like today, sectors are more correlated, so I don't know if I could make it work again.
Stay free, my friends.
Re: 0.88 Sharpe (last 35 yrs)
There used to be people on here saying that they held both HBPP and decision moose portfolios to try and do that.Kbg wrote: I do like the premise of some type of momentum wrap around a PP core though where the momentum leaders get extra weighting.
"Good judgment comes from experience. Experience comes from bad judgment." - Mulla Nasrudin