Great stuff -- I've really enjoyed following your test. I'd be interested to hear how you segregate your returns between alpha (i.e. the individual stocks you are picking) and beta (i.e., the decision to be net-long, neutral, or net-short). If 75%+ of returns are coming from choosing the appropriate market direction, than why even bother with stock-picking at all? Have you considered running a test that only owns indices without individual stocks?
Great stuff -- I've really enjoyed following your test. I'd be interested to hear how you segregate your returns between alpha (i.e. the individual stocks you are picking) and beta (i.e., the decision to be net-long, neutral, or net-short). If 75%+ of returns are coming from choosing the appropriate market direction, than why even bother with stock-picking at all? Have you considered running a test that only owns indices without individual stocks?
ReplyDeleteBest,
Matt