<t>Is there big difference?I doubt that it is the fungible asset with large volume - otherwise big banks would have exploited it.What might be interesting for you if you want to trade intraday is to analyze the differences in the behaviour of two stocks, esp. if you believe in some sort of informed ...

<t>You mean - to convert one line to another?I think it is somehow done for some stocks, i.e. Russian MICEX and LSE listings, for a small fee (5 cents?).But sometimes it is not the case, i.e. there are some Russian MICEX and NYSE listings traded with 17% premium one to another due to nun-fungibility...

Funny not to have Simons in the list.

The thing is that I will test my strategy, and make the decision..So I wanted to do as good backtests as I can.So - thanks for the replies! If I found smth interesting, will write here.

<r>You help the capitalism mechanism work <E>:-)</E> Or pretend that you do it.If we consider the perfect world (no arbitrage, perfect forecasts etc), we can expect zero profits for speculators.If we consider a bit less perfect world, we can expect speculators making profits by shifting the markt cl...

Sometimes it makes sense to replicate a position in stocks wit ha position in index futures because of liquidity reasons. Ie if we get a huge principal trade.

Thanks for the reply!Those guys?http://www.factset.com/And why/in what it is better comparing to IBES and Reuters data?

Sad :-(You are right, Reuters is not that popular, sometimes you have 1-2 analysts for Reuters and a few more for IBES.So, should I go for IBES, do backtests, run the strategy live and just hope that the data was not too screwed?..

Hm..I thought IBES has some problems with data accuracy and backfills, which limit it's use for historical backtests.And what do you think about Reuters consensus estimates?

Hi,The more I look at the analyst historical data, published py different agencies, the more concerns about the quality of that data I have.So guys, what is the best data for analyst estimates?

You mean - how to find hedging ptfs exposed to only one factor? 1m$ question

It'd be awesome to work together with TraderJoe!Just write me when you hire him...

Trading is not a zero-sum game.If the market sums to X bln on a particular date and X/2 bln 6 months later, it means that the sum changed.

But this leaves us on the "backward-looking" side only with a limited amount of benchmarks - too many are in Barra. That's what bothers me...Thanks a lot for the explanations!

<t>Right.The problem I see here is that Barra factors take into account some <potentially> valuable fund data and technical data.So, when we try to regress residuals we should not use those factors (or use them in some discrete way) - because otherwise it is smth like "double division" you mentioned...