tag:blogger.com,1999:blog-11027528911364475.post8906401397888095006..comments2024-02-18T21:10:05.205-08:00Comments on EconomPic: A Guide to Creating Your Own Smart Beta FundJakehttp://www.blogger.com/profile/07946497592651234440noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-11027528911364475.post-72651815333964064862015-04-10T07:24:57.826-07:002015-04-10T07:24:57.826-07:00And finally... the results are bullshit. So very s...And finally... the results are bullshit. So very similar to most smart beta backtests.Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-77331550584724770982015-04-10T07:23:52.450-07:002015-04-10T07:23:52.450-07:00Though some of this issue is cushioned by the fact...Though some of this issue is cushioned by the fact that one year (smoothed) GDP and the numbers are rarely close. Only 14 "switches" in 38 years.Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-39075310075837114952015-04-10T07:16:01.287-07:002015-04-10T07:16:01.287-07:00I've actually been looking for that time serie...I've actually been looking for that time series myself. Lagged it (so for example, using Q4 2014 GDP data for the 3/31/15 allocation), but obvious issues in the backtest when revisions occur. Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-24060254961760048592015-04-10T06:57:03.119-07:002015-04-10T06:57:03.119-07:00Is the GDP value for the backtest using point-in-t...Is the GDP value for the backtest using point-in-time nominal GDP or the revised nominal GDP? If you have a link to point-in-time GDP data please share!<br /><br />Thanks,<br />CarlAnonymoushttps://www.blogger.com/profile/04528832888362019191noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-28409737676713676302015-04-09T18:43:19.255-07:002015-04-09T18:43:19.255-07:00Haha. Too funny.Haha. Too funny.Jakehttps://www.blogger.com/profile/07946497592651234440noreply@blogger.comtag:blogger.com,1999:blog-11027528911364475.post-57454577243879554992015-04-09T18:05:12.509-07:002015-04-09T18:05:12.509-07:00Bethlehem Steel got rid of their old ticker symbol...Bethlehem Steel got rid of their old ticker symbol. You can use that now if you can't get GDP. Anonymousnoreply@blogger.com