Jump to content


Are you feeling lucky punk? Go to an investment broker.


11 replies to this topic

#1 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 23 May 2019 - 08:43 PM

Over the last 15 years from 2002 to 2017, only one in 13 large-cap managers, only one in 19 mid-cap managers, and one in 23 small-cap managers were able to outperform their benchmark index.

Data from S&P
A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.

#2 baw1064

    formerly of the public sector

  • Members
  • PipPipPip
  • 4780 posts
  • LocationEarthquakes, tsunamis, and volcanos--oh my!

Posted 23 May 2019 - 09:46 PM

Well, if they worked for free, they'd have a 50/50 chance of outperformance. :P

Seriously, index funds are one of the great inventions of the last 50 years.
“Unless someone like you cares a whole awful lot, Nothing is going to get better. It's not.” --Dr. Seuss

#3 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 23 May 2019 - 10:41 PM

View Postbaw1064, on 23 May 2019 - 09:46 PM, said:

Well, if they worked for free, they'd have a 50/50 chance of outperformance. :P

Seriously, index funds are one of the great inventions of the last 50 years.
Emperor Investments don't do too bad either. They use AI.
A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.

#4 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 13 June 2019 - 04:19 AM

A look at some of the gurus and how many times they got it right. Of course getting it wrong big time once is not reflected here. Look at Jim Cramer, wrong enough to have a TV program.

Guru-------------Forecasts------Accuracy
David Nassar------------44----68.2%
Trading Wire-------------69---- 47.8%
Ken Fisher---------------120-- 66.4%
Don Hays----------------- 85---- 47.1%
Jack Schannep---------- 63---- 65.6%
James Stewart----------- 115--- 47.0%
David Dreman----------- 45---- 64.4%
Richard Band------------ 31---- 46.9%
James Oberweis-------- 35---- 62.9%
Jim Cramer--------------- 62---- 46.8%
Steve Sjuggerud-------- 54---- 62.1%
Gary D. Halbert---------- 93---- 46.4%
Cabot Market Letter---- 50---- 60.4%
Dennis Slothower------- 145--- 45.6%
Louis Navellier----------- 152--- 60.0%
Bill Car---------------------208--- 45.6%
Jason Kelly--------------- 126---- 59.7%
Gary Savage------------- 134---- 45.0%
Dan Sullivan-------------- 115---- 59.1%
Marc Faber--------------- 164---- 44.6%
John Buckingham------- 17---- 58.8%
Jeremy Grantham------- 40---- 44.2%
Richard Moroney-------- 56---- 57.1%
Tim Wood----------------- 182--- 43.8%
Aden Sisters-------------- 40---- 55.8%
Jim Jubak----------------- 144--- 43.4%
Jon Markman------------- 36---- 55.3%
Martin Goldberg---------- 109--- 43.1%
Carl Swenlin--------------- 128--- 54.9%
Price Headley------------- 352--- 42.0%
Bob Doll-------------------- 161--- 54.7%
Linda Schurman----------- 57---- 41.4%
Paul Tracy------------------ 52---- 53.8%
Donald Rowe-------------- 69---- 40.6%
Bob Brinker---------------- 44---- 53.3%
Igor Greenwald----------- 37---- 40.5%
Mark Arbeter-------------- 230--- 53.2%
Nadeem Walayat--------- 67---- 40.5%
Gary Kaltbaum------------ 144--- 53.1%
Bob Hoye------------------- 57---- 40.0%
Robert Drach-------------- 19---- 52.6%
John Mauldin-------------- 211--- 39.9%
Don Luskin----------------- 201--- 52.0%
Jim Puplava---------------- 43---- 39.5%
Laszlo Birinyi--------------- 27---- 51.9%
Comstock Partners-------- 224--- 37.9%
Tobin Smith---------------- 281--- 50.2%
Bill Fleckenstein----------- 148--- 37.3%
James Dines -------------- 39 ---- 50.0%
Gary Shilling--------------- 41 ---- 36.6%
Ben Zacks------------------ 32 ---- 50.0%
Richard Russell------------ 168 --- 36.5%
Doug Kass------------------ 186 --- 49.2%
Mike Paulenoff------------- 12 ---- 35.7%
Richard Rhodes------------ 42 ---- 48.8%
Abby Joseph Cohen------- 56 ---- 35.1%
Bernie Schaeffer----------- 81 ---- 48.8%
Peter Eliades---------------- 29 ---- 34.5%
Clif Droke-------------------- 100 --- 48.6%
Steven Jon Kaplan--------- 104 --- 32.1%
Stephen Leeb--------------- 27 ---- 48.3%
Curt Hesler------------------ 97 --- 32.1%
S&P Outlook ---------------- 145 --- 48.3%
Robert McHugh------------- 132 --- 28.6%
Carl Futia-------------------- 98 ---- 48.2%
Steve Saville---------------- 35 ---- 23.7%
Charles Biderman---------- 48 ---- 47.9%
Robert Prechter------------- 24 ---- 20.8%

A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.

#5 LFC

    Fiscal Conservative

  • Members
  • PipPipPip
  • 27887 posts
  • LocationPennsylvania

Posted 13 June 2019 - 08:07 AM

View PostGeorge Rowell, on 13 June 2019 - 04:19 AM, said:

A look at some of the gurus and how many times they got it right. Of course getting it wrong big time once is not reflected here. Look at Jim Cramer, wrong enough to have a TV program.

Index funds just keep looking better and better.
" 'Individual conscience' means that women only get contraceptives if their employers, their physicians, their pharmacists, their husbands and/or fathers, pastors, and possibly their mayors, Governors, State Secretaries of Health, Congressmen, Senators, and President all agree that in that particular case they're justifiable." --D.C. Sessions

"That's the problem with being implacable foes - no one has any incentive to treat you as anything more than an obstacle to be overcome."

"The 'Road to Serfdom' is really all right turns." --Progressive Whisperer

""The GOP ... where every accusation is also a confession." --Progressive Whisperer

#6 andydp

    Advanced Member

  • Members
  • PipPipPip
  • 3671 posts
  • LocationUpstate NY near Albany

Posted 13 June 2019 - 12:00 PM

View PostLFC, on 13 June 2019 - 08:07 AM, said:

Index funds just keep looking better and better.

When working I kept my money going to the TSP (Gov't 401k) in the Dow Indexed Fund. I left it alone for 20 years. At the end of the Obama Administration my fund was triple what it was at the end of the Bush Administration.

Now that I have retired, 75% is in Government instruments and the other 25% is still in the index fund. The whole account isn't doing too bad either.

We had people who would constantly "churn" their accounts to get a higher return. In fact, that prompted the TSP administrators to limit changes once a month.

ETA: Didn't they have comparison portfolios between a monkey throwing darts and an actual Financial Advisor ? If I remember the story right, the monkey did better.
Nothing in the world is more dangerous than sincere ignorance and conscientious stupidity.

Rev Martin Luther King Jr.


Obamacare took my guns away and put me in a FEMA reeducation camp.

Anonymous

If you've got public schools paid for by taxpayers, you're in a socialist nation. If you have public roads paid for by taxpayers, socialist nation. If you've got public defense (police, fire, military, coast guard) paid for by tax dollars, socialist nation. If you're in a nation that has nationalized or localized delivery of services that are not paid for by users alone, you're in a socialist nation- the only question is how socialist. As I see it, we have the military pay to protecting the shipping lanes for our fuel needs which makes up very socialist. In a capitalist nation, the people supplying the oil would pay for their own defense force.


DC Coronata

#7 LFC

    Fiscal Conservative

  • Members
  • PipPipPip
  • 27887 posts
  • LocationPennsylvania

Posted 13 June 2019 - 01:09 PM

View Postandydp, on 13 June 2019 - 12:00 PM, said:

ETA: Didn't they have comparison portfolios between a monkey throwing darts and an actual Financial Advisor ? If I remember the story right, the monkey did better.

More than once.
" 'Individual conscience' means that women only get contraceptives if their employers, their physicians, their pharmacists, their husbands and/or fathers, pastors, and possibly their mayors, Governors, State Secretaries of Health, Congressmen, Senators, and President all agree that in that particular case they're justifiable." --D.C. Sessions

"That's the problem with being implacable foes - no one has any incentive to treat you as anything more than an obstacle to be overcome."

"The 'Road to Serfdom' is really all right turns." --Progressive Whisperer

""The GOP ... where every accusation is also a confession." --Progressive Whisperer

#8 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 16 June 2019 - 05:57 AM

Mathematicians Against Fraudulent Financial Advice (MAFFIA)

There is no reason to be optimistic. After all, nowadays a large fraction (over 80%) of all trades are executed not by individual investors or even most institutions, but instead by highly computerized operations (often operated by large mathematically-oriented hedge funds) that employ extremely sophisticated mathematical analysis, running on state-of-the-art computer systems, operating on huge datasets, to wring every morsel of potentially profitable information out of market data, and to act on their analyses in millisecond or even microsecond time frames. Recently some of these operations have extended their operations beyond market data to include econometric data, consumer transaction data, satellite images, and even social media posts. Future systems operated by these organizations are certain to be even more sophisticated than those being used today.
So how can human analysts, eyeballing charts and using simple formulas and statistical tools, possibly compete with such overwhelming firepower? The answer is obvious: they can’t.

In ancient Egypt, Ptolemy I studied Euclid’s Elements (a treatise on plane geometry). When he found it rather difficult, he asked Euclid if there was an easier way to master it. Euclid famously replied Sire, there is no royal road to geometry.
The same is true today: there is no royal road to investment — there is no simple, easy-to-understand scheme, whether it be charting, technical analysis, wave analysis, or anything else, that can consistently achieve above-market-index results. For individual investors especially, nothing can take the place of patient, long-term, diversified, low-fee investment.

https://mathinvestor...s-do-they-work/
A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.

#9 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 16 June 2019 - 10:48 PM

Any mathematicians around?

What actually is the chance of the following happening? "Over the last 15 years from 2002 to 2017, only one in 13 large-cap managers, only one in 19 mid-cap managers, and one in 23 small-cap managers were able to outperform their benchmark index."

To my un-trained eye it would be 1/6.5 x 1/9.5 x 1/11.5 x 100% or about 0.038%. Of course there will be some commonality between those results so they all need a weighting factor but I believe the range should start at a low of 0.038% possibility and go upwards.
A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.

#10 baw1064

    formerly of the public sector

  • Members
  • PipPipPip
  • 4780 posts
  • LocationEarthquakes, tsunamis, and volcanos--oh my!

Posted 16 June 2019 - 11:37 PM

View PostGeorge Rowell, on 16 June 2019 - 10:48 PM, said:

Any mathematicians around?

What actually is the chance of the following happening? "Over the last 15 years from 2002 to 2017, only one in 13 large-cap managers, only one in 19 mid-cap managers, and one in 23 small-cap managers were able to outperform their benchmark index."

To my un-trained eye it would be 1/6.5 x 1/9.5 x 1/11.5 x 100% or about 0.038%. Of course there will be some commonality between those results so they all need a weighting factor but I believe the range should start at a low of 0.038% possibility and go upwards.

Well, you'd expect half to outperform and half to underperform (since essentially they're competing against each other) before you deduct their management fees. The higher the fees, the less likely they'll outperform after fees are deducted. So you can't really answer the question without knowing what they are getting paid to pick stocks.

And why do monkeys throwing darts outperform? Because most of the time, they'll hit a small cap stock with the dart. There are a lot more small caps than large caps, and small caps tend to have higher average returns--and higher risks. Equal weighting of all companies in the S&P 500 also tends to outperform.
“Unless someone like you cares a whole awful lot, Nothing is going to get better. It's not.” --Dr. Seuss

#11 Rich T Bikkies

    Trainee Basil Fawlty. Practising Victor Meldrew

  • Members
  • PipPipPip
  • 4122 posts
  • LocationBirmingham, UK

Posted 17 June 2019 - 04:29 AM

View PostGeorge Rowell, on 16 June 2019 - 10:48 PM, said:

Any mathematicians around?

What actually is the chance of the following happening? "Over the last 15 years from 2002 to 2017, only one in 13 large-cap managers, only one in 19 mid-cap managers, and one in 23 small-cap managers were able to outperform their benchmark index."

To my un-trained eye it would be 1/6.5 x 1/9.5 x 1/11.5 x 100% or about 0.038%. Of course there will be some commonality between those results so they all need a weighting factor but I believe the range should start at a low of 0.038% possibility and go upwards.

I don't understand your calculation. You seem to be doubling the fraction of each category of manager and multiplying them together, which makes no sense to me. If the three categories of manager were disjoint I'd let A be the total number of managers in each category, B be the total number in the subset who outperformed their benchmark index, and get the percentage 100*B/A. If they were not disjoint I need to see a Venn diagram with counts of the commonalities.

You seem to make a nod to that with your remark about weightings and commonalities, but I think I may be just misunderstanding what you're doing here.
Reality is a hallucination caused by alcohol deprivation.

Only Satan can rebuke sin. The righteous don't know enough.

God is not dead. He was merely voted out of office.

You can do anything with anybody if you just save them the trouble of thinking.

#12 George Rowell

    Advanced Member

  • Members
  • PipPipPip
  • 749 posts
  • LocationIn Perth now

Posted 17 June 2019 - 05:26 AM

View PostRich T Bikkies, on 17 June 2019 - 04:29 AM, said:

I don't understand your calculation. You seem to be doubling the fraction of each category of manager and multiplying them together, which makes no sense to me. If the three categories of manager were disjoint I'd let A be the total number of managers in each category, B be the total number in the subset who outperformed their benchmark index, and get the percentage 100*B/A. If they were not disjoint I need to see a Venn diagram with counts of the commonalities.

You seem to make a nod to that with your remark about weightings and commonalities, but I think I may be just misunderstanding what you're doing here.
You can toss my calculation, I was just getting a feel. The managers I assume are working independently on different types of fund. As these funds are different and require different analysis then they may be considered as individual un-linked events. So the chance of them all getting it wrong will be the product of all 3 events, ie 1/9 x 1/13 x 1/23 x 100% = 0.037%

On the big assumption that randomly picking a share will produce a 1 in 2 chance of getting it right (baw1064 has a disrupting theory on this) then randomly choosing stocks would result in getting it right half the time, ie 50%. That being the case then 0.037% tells me to start at the beginning and look for my logical mistake.

If it is right then, or even 3 orders of magnitude (37%) off, then it must point to something systematic in the way these financial advisers work. If, as you say something is overlapping in a Venn diagram it could affect the result but by more than 3 orders of magnitude is a stretch. Frankly it is baffling.
A doctor knows a little about a lot. A specialist knows a lot about a little. In time the doctor knows less and less about more and more and the specialist knows more and more about less and less until ultimately the doctor knows nothing about everything and the specialist knows everything about nothing.





1 user(s) are reading this topic

0 members, 1 guests, 0 anonymous users