Friday, February 04, 2011

I don't play Super Bowl boxes

Why not?  Two words:  no alpha.  The box pool is the epitome of efficient markets hypothesis--where's the fun in that?

But for those of you who bought a box or two, here's the backtest of the last 44 games.  The worst number to hold is a '5'.  Any '5-X' or 'X-5' box has a 0.23% chance, so you already need take a $77 haircut on your mark-to-model.  There has NEVER EVER been a final or quarter-end score where one team's score ends in '5' and the other team's in 2-8, so if you have one of those, mark it to $0.

The best number to hold is '0', followed by '7', '3', and '4'.

Via my favorite broker.

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