Feb

6

What is Different This Time?

 This chart illustrates one of the problems with the equities market of late. The [unnamed]  variable shown was a model of consistency up until September 2010, and then started behaving less reliably. The data represents actual transactions (all of them), but would be unknown to most practitioners. Thus it is not the case of a variable being followed by so many that it becomes second-guessed and thus unreliable.

For what it's worth, this is NOT one of our decision variables.

Bill Rafter is president of Mathinvestdecisions.Com, a quantitative investment firm.


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