Thanks for the MFO article. Interesting concept. I will add to my watch list. NIXT concept should be easy to validate by back testing since little room for judgement. I wonder how they populate the portfolio at startup? Depending on how they do that might affect volatility. Cash might flow in faster than stocks purchased "dumped stocks" in portfolio. They say the fund will be small cap value. It seems some of the S&P 500 dumps might be larger cap?? Thanks for making me aware.
Comments
Seriously, I'd like to know if someone has found a good Arnott fund.
Thank you.
The Deletions ETF (NIXT) is essentially a bet on long-term reversion to the mean. Index deletions are typically followed by sell-offs. Arnott hopes to find value in unusually depressed stock prices.
“.... historical evidence that they win by 5% a year for the next five years, at least.”
As far as I know, no funds were previously created to take advantage of this phenomena.
Why haven't other firms marketed funds to harvest this apparent source
of significant alpha (vs. Russell 2000 Value Index)?
There is a old joke in the economics profession that involves two economists – one young and one old – walking down the street together: The young economist looks down and sees a $20 bill on the street and says, “Hey, look a twenty-dollar bill!” Without even looking, his older and wiser colleague replies, “Nonsense. If there had been a twenty-dollar lying on the street, someone would have already picked it up by now.”
This is my first visit to this thread. On a cursory read, I am surprised by the level of skepticism.
Disclosure: I did not read the MFO article.