Re: Dual Momentum on equities could whipsaw soon, opinions sought
Posted: Tue Sep 20, 2016 7:34 pm
Ah, right, understood. Uninvestable indexes... like you said.MachineGhost wrote:No one can invest in indexes, hence the're uninvestable. Which is why performance differs. No fund literally buys all of the stocks in an index; they use shortcuts. Small tracking errors compound enormously over time which biases positive results.Mr Vacuum wrote:How do you figure "uninvestable indexes"? It's the S&P 500 and AWCI ex US.
My point is you have to take it with several grains of salt any system that uses uninvestable indexes compared to actual investable funds. The former always looks better (especially in the far flung past when such indexes did not even have any matching investable funds) and to what extent it is misleading depends on how skilled you are about being cognizant of all this stuff.
I suppose you have investable funds data for all the relevant asset classes while the rest of us stumble along blindly with index data. God help the fool running a PP backtest with whatever they use for gold prices and not accounting for 5% spreads on physical gold or 1.12 tracking error on ETFs.