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Stanislaw Zarzycki  

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  • MTUM: Profiting From The Madness Of Crowds [View article]
    This is similar to AQR Momentum fund. The problem is the same as always - a good looking back test that does not perform in real life. All you have to do it to run the returns of MTUM against S&P 500 over last 6 month to see that it under-performs a static S&P 500 allocation. Of course no one mentions that. Thanks Morningstar to pushing another useless product.
    Oct 15, 2013. 08:53 AM | Likes Like |Link to Comment
  • What's Driving Today's Bounce? [View article]
    I think your conclusion is very premature. Level of short interest does not indicate which stocks should be bought up most. If you ever run a stock portfolio you would know that It makes sense to cover the shorts that dropped most during the sell off - taking the profit on them.
    Oct 11, 2013. 09:35 AM | 1 Like Like |Link to Comment
  • J.P. Morgan Funds: Labor Force Myth Sends The Wrong Signal On U.S. Growth Prospects [View article]
    It does not matter why the labor participation is falling, demographics or otherwise. The fact that the ratio of working to retired or discouraged is bad for the growth. It's a drag no matter how you put it.
    Jun 28, 2013. 03:58 PM | 2 Likes Like |Link to Comment
  • Indexing And Its Distorting Effects [View article]
    If you read carefully you will see that I looked at the period after the 2008 correction (2010-2013) which had low volatility level and even higher correlation between stocks than 2008-2009. Please read carefully next time. thanks for the comments.
    May 15, 2013. 08:08 AM | Likes Like |Link to Comment
  • What Does GDP Tell Us About Stocks? [View article]
    Dear Sir. I am not sure what 5 year period you are referring to. During the 2008 period the P/E ratios got actually very low (not high as you indicated) - remember that prices went down more then earnings.
    May 1, 2013. 04:27 PM | Likes Like |Link to Comment
  • ETF Strategy That Outperforms Hedge Funds [View article]
    Monthly re-balancing to 50:50 weights between stocks and bonds.
    Apr 16, 2013. 08:33 AM | Likes Like |Link to Comment
  • ETF Strategy That Outperforms Hedge Funds [View article]
    The ETF strategy beat all HFRX sub index strategies on risk adjusted basis.
    Apr 15, 2013. 08:07 AM | Likes Like |Link to Comment
  • ETF Strategy That Outperforms Hedge Funds [View article]
    I run clients money by investing in stock and bond ETFs and I find the trick to running systematic ETF strategies is the tactical re-balancing strategy. As long as one can systematically re-balance the portfolio one can consistently make money.
    Apr 14, 2013. 09:55 AM | Likes Like |Link to Comment
  • 4 Reasons Why The Cyprus Sell-Off Is Not Over [View article]
    Interesting commentary and great article. What is also interesting is the comments made by Jeroen Dijsselbloem - "If the bank can't do it, then we'll talk to the shareholders and the bondholders, we'll ask them to contribute in recapitalising the bank, and if necessary the uninsured deposit holders." This new policy might now only shift the money from Cyprus to other Euro countries but also away from Euro zone all together.
    Mar 26, 2013. 02:27 PM | 3 Likes Like |Link to Comment
  • When Should I Dump My Underperforming Manager? [View article]
    Outperforming is by luck - outliers. Skill is not a mean reverting commodity. You either suck at it or not. Active managers that are close indexers cannot beat the benchmark because of high fees, etc.
    Mar 21, 2013. 11:24 AM | 1 Like Like |Link to Comment
  • ETFs Vs. Active Managers [View article]
    I think that you will see that if a sector is outperforming so will that manager vs the general index. That is not inconsistent with the results we saw in the study.
    Mar 19, 2013. 03:59 PM | Likes Like |Link to Comment
  • Building A Simple Trading System To Diversify Your Portfolio: Part 1 [View article]
    Interesting research but you should consider transaction costs and slippage. Otherwise you are lying to yourself and misguiding the reader on the value of the strategy. Also you did not perform any tests to confirm that your results were not attributed to pure luck. You should focus on statistical hypothesis testing and do a in-sample and out-of-sample testing. Otherwise this is just data mining.
    Mar 19, 2013. 12:39 PM | 1 Like Like |Link to Comment
  • ETFs Vs. Active Managers [View article]
    I will follow up with a study on less liquid and researched markets like small cap stocks but so far the research i saw was not particularly optimistic about the skills of managers in those areas.
    Mar 19, 2013. 11:38 AM | Likes Like |Link to Comment
  • ETFs Vs. Active Managers [View article]
    only management fees, expenses, commissions were included in this study. Yes they are a drag to the performance but if an active manager cannot overcome commissions and management fees than why should anyone give him money. You either provide real value after your costs or you do not thing.
    Mar 19, 2013. 11:37 AM | 1 Like Like |Link to Comment
  • ETFs Vs. Active Managers [View article]
    I agree. I think making strategic allocations between assets (stocks, bonds) is where the value added is.
    Mar 18, 2013. 03:08 PM | 1 Like Like |Link to Comment