Quote:
Originally Posted by macker
What metrics are you using when you quant risk? You are basically just throwing out statements like ST is junk, Beta is garbage etc. etc. I have pointed out the flaws but you aren't really showing any reliable alternatives. The link is just a starting point and you can't completely classify it all as junk or garbage if you aren't presenting any better alternatives.
Regarding the markets being efficient this has been proven to be wrong over and over again and some would argue along the lines of Volcker and Grantham that the belief in EMH caused the financial crisis. It's a fact : you can only positively impact only one aspect of investment performance and that is your allocation of assets among broad asset classes. If over the past 20 years you had simply held a portfolio consisting of one quarter of the indexes of large stocks, small stocks, foreign stocks and high quality US bonds you would have beaten 90% of all professional money managers and with considerbly less risk. The amazing truth is that over a long enough time period almost any reasonably balanced indexed strategy will beat the majority of proressional money managers. If you look at the ETF growth in Canada in the last few years alone this is not a secret.
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Oh, we're back to the active/passive again....good its been so long since we beat this one to death.
Truthfully I don't think that there is a "system" or one metric that can be used. I said before its basically research and work; you can either choose to do that yourself or farm it out.