tag:blogger.com,1999:blog-8608774547701042310.post4194870035507875184..comments2024-02-03T19:12:57.201-05:00Comments on Volatility Futures & Options: Backtesting ETFsonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-8608774547701042310.post-16249519116167117892013-01-18T19:40:42.256-05:002013-01-18T19:40:42.256-05:00Good point Andrew - 2 years may be too short of a ...Good point Andrew - 2 years may be too short of a time period to judge low-frequency trading model. But I want to highlight the difference in robustness of different strategies - any thoughts on that?onlyvix.blogspot.comhttps://www.blogger.com/profile/13947069891082111297noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-37065704179646809742013-01-18T19:10:44.068-05:002013-01-18T19:10:44.068-05:00I agree that GTAA's performance has been disap...I agree that GTAA's performance has been disappointing. I'm not sure that underperformance is do to data mining, though. Faber's system seems highly generalizable, and he's applied it to out of sample data with reasonable success.<br /><br />I suspect that its recent underperformance is due to the volatile sideways market we've been in for the last 2 or so years. Maybe trending markets were an anomaly that we won't see in the future, but I doubt it.Andrew Fnoreply@blogger.com