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The first rule of investing though is once everyone knows the martingale, nobody can profit off of it anymore. So now this won't work.
by secondaryacct 5y ago
The first rule of investing though is once everyone knows the martingale, nobody can profit off of it anymore.
So now this won't work.
- qeternity 5y agoThat’s OP’s point: if this were truly predictive then you would just go raise a few billion dollars and quietly implement this strategy…you wouldn’t write a paper about it. The fact that we’re reading about a paper, and not a headline about a wildly successful systematic fund, suggests this isn’t all that valuable.
- not-elite 5y agoYou're probably correct in this case, but not in general. The authors of [1] could have quietly run a money printer but elected to seek reforms instead. [1] https://online.wsj.com/public/resources/documents/1029sechft.pdf https://online.wsj.com/public/resources/documents/1029sechft...
- danielmarkbruce 5y agoi don't think that's right. People were already using the information quickly weren't they?
- bumby 5y agoI’m not sure that’s the case in all circumstances. There’s at least a few financial anomalies that could be taken advantage of, but human biases constrain their actual use. One example is the low volatility anomaly, where low risk assets outperform the market, when time and again, fund managers struggle to do so without leverage. But fund managers generally won’t employ such a strategy because their investors don’t want to see themselves in low-risk assets when high-risk ones are going gangbusters because of FOMO.