-
“almost all of the time” doesn’t mean much. is that 51% of the time, or 99% of the time?
-
According to these guys it’s 54% within 5% of ATH and 67% within 10% of ATH.
You’re right, “almost all of the time” was a bit too enthusiastic 🙂
-
-
Than you! I’ve actually been wanting this exact data set for a while. How did you prepare it?
-
It is not mine, but it looks like a closing price .csv from Yahoo! Finance (or Alpha Vantage, just found out about it - it’s pretty neat!) plotted on a log scale +
if closing price within 5% of ATH { color: red }. You can play with yourself in Excel or matplotlib.
-
-
Yes and no. Wouldn’t a distorted market create more alpha for the active investors? Assuming 99% of the investors move to passive, this would create high inefficiencies in the market, and this would attract investors (e.g. hedge funds) who would be able to exploit them. A high alpha would then convince some investors to switch from passive to active again.
-
Agree. My test to re-evaluate my passive investment strategy is when active managers of mutual funds outperform the indexes 50% the time. According to the SPIVA scorecard, active fund managers outperform their respective indexes only 20% of the time. If the pros can’t find easy alpha, I don’t believe that I have a realistic chance.
-
-
-
I wonder how much of this is inflation or general growth of the economy. That’s why the Schiller PE Ratio is a ratio, right? Well, I suppose the people trying to time the market probably are just going off the raw numbers anyways.
Well, supposedly we know exactly how much of it is inflation, earning forecasts are reasonably accurate, and the rest is speculation/passive investing flows?