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Victor Niederhoffer: Briefly Speaking
- The DAX is at a four-year high at 4971, approaching the magic number of 5000, during a
seasonal period where since 1994 there has not been a good summer rally since 1994. At this time the cumulative gain during the two months was about 5%.
The average move since summer 1996 during these summer months is about -4% and
the current change
since June's month end is 2.5%.
- A learned gentleman informs me that that he has read the paper
Momentum Investing and the 52 week high by George and Huang
and that he may update it with a current enumeration. The
key variable the authors find indicative of superior returns is the proximity of the
current price to the six month high. They show that portfolios based on this
variable are slightly better than the standard banal momentum results found in the literature. The paper uses
CRSP data from 1970-2001 and it
certainly provides an opportunity... on the other side.
- Regarding the idea that there is such a thing as a bull and bear market on
a prospective basis: As indicated in our tests of the depiction of market
cycles formulated by my tennis partner Mr. L. B., there is no evidence that it is possible to
come up with a retrospective depiction of turning points that is inconsistent
with randomness. Thus, ideas regarding sluggishness,
selectivity, increasing highs and lows must be taken as untested and unproven.
Like so many good things, it is impossible to select the wheat from the chaff.
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