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Here's a dashboard I made that tracks the performance of the average Robinhood user vs. the S&P 500 (using user holding data): https://www.quiverquant.com/sourc

Here's a dashboard I made that tracks the performance of the average Robinhood user vs. the S&P 500 (using user holding data): https://www.quiverquant.com/sources/robinhood https://www.quiverquant.com/sources/robinhood There's an argument to be made that the ability to consistently UNDERPERFORM the market is evidence against the Efficient Market Hypothesis.

Natsu 6y ago
Alternatively, it means that someone has an edge that can be used to exploit RH (or maybe even all retail) investors. Given the state of the market, this seems ... disturbingly likely.
trader1 6y ago
Trading costs are a thing. In an efficient market I would expect ex-ante negative performance versus the benchmark.
- greatwave1 6y ago
  True, although the method I used to find the aggregate performance of Robinhood users ignored trading costs. Obviously this data is incredibly noisy and nowhere near statistically significant, but I like how it implies that betting against Robinhood traders would've been an alpha-generating strategy over the last two years.
  - trader1 6y ago
    I agree that the data is quite noisy, and the choice of weighting (by users instead of dollar value traded) may significantly influence results. Then again, after reading r/wallstreetbets, I am not so sure ;).
    - greatwave1 6y ago
      Yeah, unfortunately Robinhood doesn't provide data on # shares held per user. I've been doing something similar to track discussion on r/WSB here: https://www.quiverquant.com/wallstreetbets/ https://www.quiverquant.com/wallstreetbets/ I haven't finished any backtesting yet to see if they live up to their reputation haha.
- throw0101a 6y ago
  William F. Sharpe mentions this explicitly in "The Arithmetic of Active Management" (The Financial Analysts' Journal. January 1991, Vol. 47, Issue 1, Pages 7-9). He was a co-creator of CAPM (won Nobel) and did the Sharpe ratio: * https://en.wikipedia.org/wiki/William_F._Sharpe https://en.wikipedia.org/wiki/William_F._Sharpe
throw0101a 6y ago
Or it's all the sports fans not having any other way to spend their time: > They started betting on what color car would pass next * https://twitter.com/SportsCenter/status/1264026863367786496 https://twitter.com/SportsCenter/status/1264026863367786496
- ivalm 6y ago
  Sure, but part of EMH is that stocks are priced correctly, therefore in aggregate you would expect any sufficiently large collection of random portfolios should have the standard market return.
s1artibartfast 6y ago
That’s an interest question. What are the application for a rational actor in the EMH? Can application be reduced or applied to a subset of actors. What are the predictions for a random or misinformed actor in the market?
sukilot 6y ago
That chart shows Robinhood as randomly above and below S&P500

Natsu 6y ago

Alternatively, it means that someone has an edge that can be used to exploit RH (or maybe even all retail) investors. Given the state of the market, this seems ... disturbingly likely.

trader1 6y ago

Trading costs are a thing. In an efficient market I would expect ex-ante negative performance versus the benchmark.

greatwave1 6y ago
True, although the method I used to find the aggregate performance of Robinhood users ignored trading costs. Obviously this data is incredibly noisy and nowhere near statistically significant, but I like how it implies that betting against Robinhood traders would've been an alpha-generating strategy over the last two years.
- trader1 6y ago
  I agree that the data is quite noisy, and the choice of weighting (by users instead of dollar value traded) may significantly influence results. Then again, after reading r/wallstreetbets, I am not so sure ;).
  - greatwave1 6y ago
    Yeah, unfortunately Robinhood doesn't provide data on # shares held per user. I've been doing something similar to track discussion on r/WSB here: https://www.quiverquant.com/wallstreetbets/ https://www.quiverquant.com/wallstreetbets/ I haven't finished any backtesting yet to see if they live up to their reputation haha.
throw0101a 6y ago
William F. Sharpe mentions this explicitly in "The Arithmetic of Active Management" (The Financial Analysts' Journal. January 1991, Vol. 47, Issue 1, Pages 7-9). He was a co-creator of CAPM (won Nobel) and did the Sharpe ratio: * https://en.wikipedia.org/wiki/William_F._Sharpe https://en.wikipedia.org/wiki/William_F._Sharpe

throw0101a 6y ago

Or it's all the sports fans not having any other way to spend their time: > They started betting on what color car would pass next * https://twitter.com/SportsCenter/status/1264026863367786496 https://twitter.com/SportsCenter/status/1264026863367786496

ivalm 6y ago
Sure, but part of EMH is that stocks are priced correctly, therefore in aggregate you would expect any sufficiently large collection of random portfolios should have the standard market return.

s1artibartfast 6y ago

That’s an interest question. What are the application for a rational actor in the EMH? Can application be reduced or applied to a subset of actors. What are the predictions for a random or misinformed actor in the market?

sukilot 6y ago

That chart shows Robinhood as randomly above and below S&P500