macrocephalopod on Twitter: "Like, you either don’t understand how the index performance is calculated or you don’t understand what “survivorship bias” means and either of those is pretty amazing if you are writing papers claiming to revolutionise finance.… https://t.co/bGoiP9C4PO"

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macrocephalopod‏ @macrocephalopod 1 Mar 2021

Lmao at this “hedge fund replication” strategy that “outperforms the SPX from 2008-20”, based on following 13F filings for 40 hedge funds *that were selected because they outperformed the SPX from 2008-20* https://imarketsignals.com/2021/outperforming-the-sp-500-with-50-consensus-stock-holdings-of-40-large-hedge-funds/ …

20 replies 6 retweets 266 likes

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Nico ‏ @NicoGladia 1 Mar 2021

Replying to @macrocephalopod

Reminds me a word not read since a while... "Survivorship biais"...

2 replies 0 retweets 2 likes

edwin‏ @edwin_teejay 1 Mar 2021

Replying to @NicoGladia @macrocephalopod

Were you aware that the S&P 500 also suffers from survivorship bias? At least if you believe these gentlemen: https://arxiv.org/abs/1101.4548 pic.twitter.com/a36a0Z7RdP

2 replies 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 1 Mar 2021

Replying to @edwin_teejay @NicoGladia

That is an incredible misunderstanding of how the S&P 500 index works. Where is it from?

1 reply 0 retweets 3 likes

edwin‏ @edwin_teejay 1 Mar 2021

Replying to @macrocephalopod @NicoGladia

edwin Retweeted Ole Peters

I included the link to a preprint https://arxiv.org/abs/1101.4548 I don't know if they've tried to publish it. But they surely complain bitterly about how economics journals reject other papers of theirs:https://twitter.com/ole_b_peters/status/1294216181159796736 …

edwin added,

Ole Peters @ole_b_peters

Also interesting: the paper was rejected by 14 economics journals, if I've counted correctly, for questioning the ergodic hypothesis. That's about one man-year of authors, editors, reviewers expended on suppressing research. $100,000? $200,000? #ThisIsNotAPublicationSystem https://twitter.com/alex_adamou/status/1294170204822556673 …

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1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 1 Mar 2021

Replying to @edwin_teejay @NicoGladia

I am *shocked* that a physicist who claims to have a theory of everything for finance has fundamental misconceptions about how basic things like “stock indices” work.

1 reply 0 retweets 6 likes

Signore ViaGetti‏ @FPyLPython 2 Mar 2021

Replying to @macrocephalopod @edwin_teejay @NicoGladia

It seems what that paper is actually saying is that the S&P500 suffers from survivorship bias if used as a proxy for a generic diversified investment in US stocks, which I think is true, given it will not have the same distribution as a basket of all tradable US stocks

2 replies 0 retweets 2 likes

edwin‏ @edwin_teejay 3 Mar 2021

Replying to @FPyLPython @macrocephalopod @NicoGladia

Maybe @ole_b_peters or @alex_adamou will care to explain what did they mean when they wrote that the S&P 500 suffers from survivorship bias.

1 reply 0 retweets 0 likes

Alex Adamou‏ @alex_adamou 3 Mar 2021

Replying to @edwin_teejay @FPyLPython and

Isn't it clear in the quote? It is, by definition, an index of 500 successful companies, from which constituents are removed when they cease to be successful. So it's a basket of winners (survivors). Happy to be corrected factually by a market expert if wrong.

1 reply 0 retweets 1 like

macrocephalopod‏ @macrocephalopod 3 Mar 2021

Replying to @alex_adamou @edwin_teejay and

The historical performance of the index includes the performance all of the companies that were removed hence there is no survivorship bias in the index. This is a very simple concept and it is incredible that you don’t seem to understand it.

2 replies 1 retweet 3 likes

macrocephalopod‏ @macrocephalopod 3 Mar 2021

Replying to @macrocephalopod @alex_adamou and

Like, you either don’t understand how the index performance is calculated or you don’t understand what “survivorship bias” means and either of those is pretty amazing if you are writing papers claiming to revolutionise finance.

1:28 AM - 3 Mar 2021

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