In the appendix of the last edition of the Little Book, Greenblatt briefly reported the results of backtesting a portfolio in which there were both long positions of stocks taken from the first 50 in the MFI list, and short positions of those stocks being at the very last positions of the same list.
According to him, the results were completely negative and this approach would have lost the entire invested capital.
Tuesday, September 20, 2011
MFI shorting doesn't work
Just saw this note from jthe MFI Yahoo Group: