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The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock.

The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and sensitivity to window size seem to be potential disadvantages.

I'm hoping someone can provide more insightful advantages / disadvantages.

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up vote 4 down vote accepted

One of the major assumptions is that you have zero transaction costs. Another one is that your returns are tax-free. Otherwise it looks to me to be a windowed version of CBAL (constant rebalanced).

A more technical analysis can be found at:
Castonguay, Portfolio Management: An empirical study of the Anticor algorithm (An MS thesis)

Covan and Gluss, Empirical Bayes Stock Market Portfolios (CBAL)

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