15AssessingInvestmentSystemsIdentifyandreviewpitfalls:Dueallowance:InvestmentmanagersplayaroundwithdataspottinganinvestmentsystemUnawareofmethodologicalproblemsTransactioncostsShowgoodgrossreturns:yieldsconsumeabnormalprofitsbid-askspreadsof10%:thebuyer’sofferedprice,theseller’saskingpriceNotionalcalculationofcommission:Stampduty,Thedealiseffected.AtadiscountorpremiumtotheapparentpriceOmittingdividends:忽略股息profitfromsharesComparestockperformancewithapriceindex,Suchameasuringsystemhasabiastowardsstockswithlowyields.Ex-post-selectionbiasorsurvivorbias:Dread:feargreatlyThecomputertaperemovedstocksthathavegonebust:program,delete,gobankruptAwfulstocksmeasuredintermsofhighgearingsorthreeconsecutiveyearsofdecliningsales:其衡量的标准为高杠杆率或三年连续下跌的销售额Generateresults:stockperformancetestaninvestmenthypothesisLook-aheadbias:amethodfavoringamarketprediction:预测性偏差/偏向Relatecontemporaneouschangeinvariables:描述为变量的同期变化connectsimultaneouschangeincategoryofchangingfactorsComputetheprice-earningsratioswithyear-end…assume计算市盈。AsofDec.31was$0.85pershare.Computeearningyields(i.e.earningspersharedividedbyprice,times100)Failuretoadjustforrisk:changetomakefit调整防险的失败/故障Aportfoliowithanequivalentrisklevel有同级风险的组合投资。Misleadinggraphs误导性图表USTreasuryyields:TbondsS&P500dividendyields:returnsonequityBothtrenddown:movedownForecastreturnsToseethevalueoftherelationshipfortimingandselectionpurposes：Spotwhetherthelinesareswitchingaround:identify;changedirectionsTheirfindingsarestatisticallysignificant.practicallyChanceobservation:unforeseenhappenProbability:likelihoodsth.willhappen.Thefindingsstatisticallysignificantat1%OneinahundredOneintwentychanceofthefindingsData-mining:collectandanalyzedataNogeneralvalidity:effectiveinpracticeTheCenterforResearchinSecurityPricesOthertestedhypothesesfailedverified,justified,assumptions,explanations,supposedbasesforreasonsalargeliteratureonthatpartsoftheyearsthatproducethebestreturns.NopriortheoreticalexpectationsOut-of-sam