In the Wikipedia article on Bill Miller, it says "[his fund's] ...after-fee return beat the S&P 500 <https://en.wikipedia.org/wiki/S%26P_500> index for 15 consecutive years from 1991 through 2005 (consistently producing market-beating returns is considered to be very unlikely according to the efficient market hypothesis <https://en.wikipedia.org/wiki/Efficient_market_hypothesis>). " It fails to mention that during the Great Recession he not only under-performed the S&P 500 but he under-performed so badly that his cumulative record was under-performing. In other words, he lost all the accumulated excess gains of the 15 or so years that he out-performed.
The article does mention Miller's own point that part of his out-performance streak was calendar-dependent so that if you looked at his record from, say, July to June rather than January to December, the streak would not have been that long. On Thu, Jul 25, 2019 at 1:04 PM Devon McCormick <[email protected]> wrote: > EMH is a model and all models are wrong but some of them are useful. I > seriously doubt EMH is being taught as gospel anywhere but if it were so > obviously wrong, we would see lots of people beating the market and we > don't. As a first-order approximation, it certainly looks true (the weak > form). > > On Thu, Jul 25, 2019 at 12:48 PM Raul Miller <[email protected]> > wrote: > >> https://arxiv.org/pdf/1002.2284.pdf >> >> On Thu, Jul 25, 2019 at 12:30 PM Devon McCormick <[email protected]> >> wrote: >> > I think Dan Bron sent this paper to the forum a few years ago. The >> author >> > errs in fixating on the "past prices can predict future prices" part of >> > refuting EMH but this is patently false: the Japanese stock market did >> not >> > tank in the wake of the Fukushima disaster because of its price history. >> > It was affected by external, non-price information. >> >> That's not the issue. >> >> The issue is *not* that "markets can't get thing anything right". >> >> The issue is that "markets can't get everything right". >> >> Stated this way, it should be obvious, of course. But many >> universities were still teaching the efficient market hypothesis (and >> grading papers so that you had to agree with it to get good grades in >> economics). >> >> -- >> Raul >> ---------------------------------------------------------------------- >> For information about J forums see http://www.jsoftware.com/forums.htm >> > > > -- > > Devon McCormick, CFA > > Quantitative Consultant > > -- Devon McCormick, CFA Quantitative Consultant ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
