Monthly Archives: December 2015

The Impact of Taxes on Investor Returns

If you had invested $100,000 in Altria Group ($MO) on March 31st, 1980, and reinvested the dividends, the position today would be worth $93.6MM–a 21.0% annualized return. If you had invested the same amount in Berkshire Hathaway ($BRK-A), the position … Continue reading

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Momentum: Slip Counterfactuals, the “Stale Price” Effect, and the Future

The recent piece on the dangers of backtesting has attracted an unusual amount of attention for a piece on this blog.  I’d like to thank everyone who read and shared the piece, and also those who offered up commentary on … Continue reading

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Financial Backtesting: A Cautionary Tale

Consider the following market timing strategy, which we’ll call “daily momentum”: (1) If the market’s total return for the day, measured from yesterday’s close to today’s close, is positive, then buy the market at today’s close and hold for one day. … Continue reading

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