Hate ETFs? Quants Say They Found Anomaly to Profit on Their Flows

During my doctoral studies I was told “no published trading strategy produces excess risk-adjusted returns.” Notice the two highlighted words: “published” and “risk-adjusted.” The first thought that came to mind when reading this article was “if this ‘strategy’ is so great, why are they telling me? Why aren’t they just printing money in private?”

As I read the article, I did not see any mention of risk. Another consideration is the time frame of ‘strategy’ profitability. A strategy that was profitable the past 10 years, then published, is not guaranteed to be profitable the next 10 years.

Keep these three things in mind when someone tells you about a “can’t lose” or “market beating” strategy:

(1) Why are you telling me this and not making money on your own in private? You should lever up and execute this strategy from your yacht in the Caribbean instead of wasting time and money talking to me.

(2) What about risk-adjusted returns?

(3) How do you know this strategy will work in the future? /How do you know the future?

Be aware.

Hate ETFs? Quants Say They Found Anomaly to Profit on Their Flows
https://www.bloomberg.com/news/articles/2018-07-19/hate-etfs-quants-say-they-found-anomaly-to-trade-against-flows

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