I love Estrada’s work. Here is a link to a recent paper in the Journal of Investing.


Do investors obtain their long-term returns smoothly and steadily over time, or is their long-term performance largely determined by the return of just a few outliers? How likely are investors to successfully predict the best days to be in and out of the market? The evidence from 15 international equity markets and more than 160,000 daily returns indicates that a few outliers have a massive impact on long-term performance. On average across all 15 markets, missing the best 10 days resulted in portfolios 50.8% less valuable than a passive investment; and avoiding the worst 10 days resulted in portfolios 150.4% more valuable than a passive investment. Given that 10 days represent less than 0.1% of the days considered in the average market, the odds against successful market timing are staggering.

Great data, but wrong conclusion – he needs to take his data and analysis one step further!! Long time readers of World Beta will know that the vast majority of big up AND down days come when the market is declining, mainly because it is more volatile. Posts here, here, and here. About 70% of the big up and down days are in declining markets. So, it should be no surprise to readers that markets have been volatile lately.

Thus, the simple reason my quant system works – it avoids the volatile up and down days. (And this is not to mention the sequence of up and down days, which is also important.)

I’ve been trying to get Estrada to extend his work to when the markets are above and below the 10-month moving average, stay tuned!


An inspiring story of one of the top chefs in the country who is battling tongue cancer. I’ve always wanted to go to Alinea.

A few funds that practice extreme diversification. Although, I must say that the buy and hold portfolio in my paper is more unconventional than most of these. Funds listed:

Permanent Portfolio PRPFX
Evergreen Asset Allocation EAAFX


Is Thiel buying here?


I love maple syrup, but man it is getting expensive.