On the last page Mendillo had these two rather odd quotes that seem, at least to me, to be a bit contradictory (not to mention something I would have just followed with “Did I just say that out loud?”):
“Overall, our risk management was adequate.”
“We kept the ship righted in a real-life correction that exceeded our most extreme theoretical stress tests.”
Hulbert on the 200 day SMA. He never mentions in any of his articles that the main feature of a trendfollowing system is risk reduction (vol and drawdown) and not an increase in absolute return. (HT: GA)
Listed vs. non-listed from AllAboutAlpha.
I haven’t read any of these reports yet but they look interesting – from QSG.
Just got back from giving a speech in Portland – I love that town!