Timing Model Equity Curves

January 7th, 2009 by Mebane Faber

Comments

A reader asked me to post the equity curves for the timing model, so here they are:

1973 – 2008, log chart:

1973 – 2008, non-log chart:

1973 – 2008, log chart, including leveraged model:

1973 – 2008, non-log chart, including leveraged model:

1/2006 – 1/2008 out of sample returns:

cH

Hi There,

fascinating stuff but I'm a bit dense...so, not sure of what the units are in the "x" column? Not sure how the "buy and hold" underperforms the S&P unless costs of buying or fees from mutual funds are included? By the same token, wouldn't the "buy and hold" outperform on the way up due to dividends, etc.? One more, how much leverage on the leveraged charts and what are log charts vs. non-log charts?

Like I said, dense (I'm a history / poli sci guy, so thanks for your bearing w/ me).

Look forward to reading the book.

Thanks
cH

mr.dense

I agree with cH2--these charts dont show that timing strategy is better! May be I am dense too!

PurpleTeeth

Not sure exactly what the differences are here, but the S&P suffers from "survivor bias" - it reflects price based on companies in it today that are alive and successful... vs. buy and hold where if you're holding it when it tanks ... well, your loss.

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