tag:blogger.com,1999:blog-28360876.post8283238406082730178..comments2023-10-26T11:34:14.369-04:00Comments on MFI Diary: MFI Monthly Tracking Portfolio 12/30/16 + MFI 2017 IndexMarsh_Gerdahttp://www.blogger.com/profile/01375422931807610092noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-28360876.post-91269638741707528652018-01-08T15:41:06.800-05:002018-01-08T15:41:06.800-05:00I see that Dividend > 2.6% has performed well, ...I see that Dividend > 2.6% has performed well, but do you happen to have any data or even have a sense how Dividend > 0 would have performed? Love the blog - been a long-time follower.Protohttps://www.blogger.com/profile/01140282284657513089noreply@blogger.comtag:blogger.com,1999:blog-28360876.post-36413231946780841872017-12-31T10:11:40.866-05:002017-12-31T10:11:40.866-05:00Brad - my condo is in the White Mountains, Jackson...Brad - my condo is in the White Mountains, Jackson. Just gorgeous there - like a cheaper Colorado. I am thinking about going next week. <br /><br />MFI is working for me. I don't think Greenblatt gamed the system. He had an unbelievable run as a hedge fund manager and doesn't need our millions. I just think it needs to be tweaked a bit as the universe has a bunch more one hit bio techs (like MNKD) that make the screen.<br /><br />I will check out the Wall Street book. Thanks for offer to sned, but I can grab a copy easily.<br /><br />MMarsh_Gerdahttps://www.blogger.com/profile/01375422931807610092noreply@blogger.comtag:blogger.com,1999:blog-28360876.post-59828715695859677532017-12-31T08:49:32.788-05:002017-12-31T08:49:32.788-05:00Where in NH is your condo? I grew up in Southern ...Where in NH is your condo? I grew up in Southern NH but am now living in NC. I miss the skiing but thats about it :)<br /><br /><br />Just a cynical thought about MFI if I may. What if there was never really an anomaly there? <br /> What if Greenblatt looked at a rather limited data set, found a model that fit which showed excess returns during that period, published a book and made millions off of us suckers? I am not implying Greenblat did this on purpose, rather, he may have "discovered" something that really was never there to begin with and we all got too excited about it. I always find it suspect when these amazing strategies work great almost every year within the in-sample data and then as soon as we start applying them to out-of sample data you have to ask if its just really bad luck for the past 10+ years or maybe something else is going like bad data analysis to begin with. <br /><br /><br />On a side note, have you read What Works on Wall St? I would be happy to send you my copy if you want to borrow it. I really enjoyed it and some of MFI like strategies were tested and seemed to do well (in-sample). My favorite idea is combing value with momentum where you essentially screen for value stocks but only buy ones going up over the past 6-12 months. This should eliminate some of the really bad stocks that just seem to go down from the start. <br /><br /><br />-Brad<br /><br /> Bradhttps://www.blogger.com/profile/01026322838778794994noreply@blogger.com