Geetesh Bhardwaj at AIG? No, Now Vanguard!

A few weeks back a few researchers put out a paper that essentially said trend following is bunk. I commented at the time that one of the authors was at AIG investment products and mockingly said, “next!” Turns out the lead author, Geetesh Bhardwaj, must have taken my criticism to heart, for his academic paper now says he works for Vanguard. Quite a switch in span of two weeks!

Old Screenshot.

New Screenshot.

9 thoughts on “Geetesh Bhardwaj at AIG? No, Now Vanguard!

  1. Unfortunately I think Geetesh Bhardwaj falls into the usual trap of not being able to differentiate between trend followers and CTA’s. Not all Cta’s are trend followers and not all trend followers are CTA’s. Its kind of typical of the whole industry and probably goes a long way toward explaining why the financial industry is in its current mess – that so called “intelligent” people cannot even categorise what they’re talking about.
    Chris Clarke

  2. He releases a purported serious paper. I point out that he works for AIG. Two weeks later he is with Vanguard, which by default means his alternative to trend following is index investing long only style.

  3. If my affiliation is the only criticism that you have of the results, I am vindicated. So stop taking about who I work for and start justifying the industry wide Sharpe Ratio of 0.09 to your invstors. You have been stealing investor money for too long, 2-20 for trend following really?????

  4. Couple more points:

    1. Where you work, the mutual fund industry, spends a ton on lobbying to make sure CTA investments can’t advertise their performance. Where you work whether you like it or not says something.

    2. The Sharpe ratio would penalize trend traders for their outsized positive performance for Oct and Nov 08, correct?

  5. Of course Geetesh Bhardwaj’s affiliation is significant. Vanguard is famous for taking the position that actively managed funds are a waste of time. That is why the vast majority of their assets under management are in indexed funds. So is it surprising that their marketing department hired an economics major to write reports that show actively management in a bad light? Don’t hold it against Geetesh. His previous job being a vice president of a disaster like AIG can’t look good on a resume. He’s probably lucky to be working at all.

    And then he’s arguing a point that doesn’t matter. The Sharpe ratio of CTAs does not need to be “explained”. Most investors want the investment to be profitable. The Sharpe ratio does not measure “risk” as it it commonly understood. Even Sharpe, in his original paper, wrote about “variability” not “risk”. The Sharpe ratio punishes a spike up in the same way as a spike down. Many managers have strategies that produce a good average profit over a long period, but require the investors to accept some gyration in the mean time. If you want highly predictable earnings, invest with Madoff, who, if news reports are correct, claimed to produce the same one percent return every month. I’m sure Geetesh would have loved his Sharpe ratio.

  6. Michael, AIG has sponsored a number of questionable academic reports that benefited their business interests. There is a reason AIG is currently being grilled in front of congress. You are very astute to question this report. Not only is it deeply flawed on several fronts, but the academic motivation might not be as pure as one would hope.

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