Posts Tagged ‘S&P

09
Aug
11

Infograma du Jour: 1/3, mira cuando las tres digan lo mismo…

 

 

 

 

 

(Fuente: Reuters)

 

06
Aug
11

Para guardar, USA AA+

01
May
10

Listado de Ratings de Deuda Soberana

Credit Writedowns tiene un simple e informativo post sobre los ratings de Deuda Soberana de S&P, Moody y Fitch.

Una de las fuentes del mismo es la siguiente (sitio de S&P)

19
Feb
10

estrategia: ¿200 day moving average?

Wayne Whaley en un post en Traders.com se plantea testear las estrategias que siguen los movimientos de las medias móviles (50, 100, 200 dias), comparandolas contra la estrategia buy and hold, en un horizonte temporal de 40 años (1970-2009).

  • The 200-day moving average crossover rule is the most profitable of the seven moving averages (50, 100, 150, 200, 250, 300, 350) studied for the 40-year time period selected on the S&P 500. This may explain the popularity of the 200-day moving average.
  • None of the moving average strategies were profitable on the short side. This is because the S&P 500 has a positive bias during this time frame.
  • None of the moving average strategies yielded more than the 11.5% return obtained with the buy & hold plus dividends strategy.
05
Feb
10

Paper: Mutual Funds y performance

Do Past Mutual Fund Winners Repeat? The S&P Persistence Scorecard

Abstract:
The phrase “past performance is not an indicator of future outcomes” is a common fine print line found in all mutual fund literature. Yet due to either force of habit or conviction, both investors and advisors consider past performance and related metrics to be important factors in fund selection.
Does past performance really matter? The semi-annual S&P Persistence Scorecard seeks to track the consistency of top performers over three- and five-consecutive year periods, and measure performance persistence through transition matrices for three- and five-year non-overlapping holding periods. As in our widely followed Standard & Poor’s Indices Versus Active Funds (SPIVATM) Scorecards, the University of Chicago’s CRSP Survivorship Bias Free Mutual Fund Database underlies our analysis.
Very few funds manage to consistently repeat top-half or top-quartile performance. Over the five years ending September 2009, only 4.27% large-cap funds, 3.98% mid-cap funds, and 9.13% small-cap funds maintained a top-half ranking over the five consecutive 12-month periods. No large- or mid-cap funds, and only one small-cap fund maintained a topquartile ranking over the same period.
Looking at longer term performance, 24.32% of large-cap funds with a topquartile ranking over the five years ending September 2004 maintained a top-quartile ranking over the next five years. Only 16.39% of mid-cap funds and 27.06% of small-cap funds maintained a top-quartile performance over the same period. Random expectations would suggest a repeat rate of 25%.
Our research suggests that screening for top-quartile funds may be inappropriate. A healthy plurality of future top-quartile funds comes from the prior period’s second, third and even fourth quartiles. Screening out bottom quartile funds may be appropriate, however, since they have a very high probability of being merged or liquidated.

Link al Paper




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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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