• Michael A. Gayed, CFA
    Small-Cap high beta stocks (IWM) performing once again better than large-cap low beta S&P 500 (SPY). Strong internals.
    4/3/12
    Reply (13)
    • Bildar: M.G., You said nothing about IWM underperforming SPY for the entire month of February. Do I see some bias confirmation happening here?
      4/3/12
    • Michael A. Gayed, CFA: Actually, I have noted in numerous times on Minyanville in the Lead-Lag Report I put out weekly.
      4/3/12
    • Bildar: Found one reference to IWM weakness there in Feb., but you gave it no significant negative weight.
      4/3/12
    • Bildar: Your strategy appears to have a significant discretionary component that isn't amenable to 'hard' programming that a computer could execute.
      4/3/12
    • Bildar: Is that true?
      4/3/12
    • Michael A. Gayed, CFA: Factually incorrect - look up Lead-Lag Reports for each week (the full PDF, not truncated one for the site which is linked in each writing).
      4/3/12
    • Bildar: I'll take your word for the references to IWM. That reinforces the case for a strategy with some discretionary input.
      4/3/12
    • Bildar: You refer to wide range of market conditions and relative strength ratios, which indicate discretion. Is some discretion involved?
      4/3/12
    • Michael A. Gayed, CFA: We use a quantiative model at my firm. The analysis I write about shares the same underlying academic research.
      4/3/12
    • Bildar: I see. The strategy you write about is different than ATAT in that you use some discretion but base it on the same principals.
      4/3/12
    • Bildar: I would guess, then, that you occaisionally come up with a different conclusion, than what ATAT does on a week to week basis.
      4/3/12
    • Bildar: There's nothing wrong with that, but I think it would benefit you to be clear about the difference.
      4/3/12
    • datadave: about time: small caps should be rising faster in a true recovery. Only just now? waiting and seeing.
      4/4/12
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