Comments on: Asset Class Rotation http://www.mebanefaber.com/2009/02/05/asset-class-rotation/ Engineering Targeted Returns and Risk Mon, 22 Mar 2010 08:42:41 -0500 http://wordpress.org/?v=2.8.2 hourly 1 By: Tactical Asset Allocation Based on the Yield Curve – World Beta – Engineering Targeted Returns and Risk http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-3175 Tactical Asset Allocation Based on the Yield Curve – World Beta – Engineering Targeted Returns and Risk Mon, 16 Nov 2009 01:37:11 +0000 http://www.mebanefaber.com/?p=557#comment-3175 [...] Asset Class Rotation [...] [...] Asset Class Rotation [...]

]]> By: Scott http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2539 Scott Mon, 18 May 2009 01:48:03 +0000 http://www.mebanefaber.com/?p=557#comment-2539 For those interested in seeing how momentum strategies can be combined with moving averages, see a recent article on CXOAG: <a href="http://www.cxoadvisory.com/blog/internal/blog5-12-09/" rel="nofollow">http://www.cxoadvisory.com/blog/internal/blog5-...</a><br><br>Their conclusion: "In summary, a very limited test suggests that adding simple moving average signals to asset class momentum investing may enhance returns." For those interested in seeing how momentum strategies can be combined with moving averages, see a recent article on CXOAG: http://www.cxoadvisory.com/blog/internal/blog5-...

Their conclusion: “In summary, a very limited test suggests that adding simple moving average signals to asset class momentum investing may enhance returns.”

]]> By: FredCDobbs http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2246 FredCDobbs Wed, 25 Feb 2009 15:54:00 +0000 http://www.mebanefaber.com/?p=557#comment-2246 It would be interesting to see the results based on weekly rebalancing ala Decision Moose using say 26 weeks as your evaluation period. Moose prefers to hold only the top asset but it would be helpful to see if this is really ideal from a risk adjusted point of view. It would be interesting to see the results based on weekly rebalancing ala Decision Moose using say 26 weeks as your evaluation period. Moose prefers to hold only the top asset but it would be helpful to see if this is really ideal from a risk adjusted point of view.

]]> By: MarkM http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2211 MarkM Thu, 19 Feb 2009 11:20:47 +0000 http://www.mebanefaber.com/?p=557#comment-2211 Mebane-<br><br>Could we classify the inverse of your 5 as separate asset classes and expand the strategy to include those as possible longs? What would that do? Anybody running anything similar?<br><br>MarkM Mebane-

Could we classify the inverse of your 5 as separate asset classes and expand the strategy to include those as possible longs? What would that do? Anybody running anything similar?

MarkM

]]> By: ashpak001 http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2205 ashpak001 Mon, 16 Feb 2009 07:45:21 +0000 http://www.mebanefaber.com/?p=557#comment-2205 It would be interesting to see result for Long-Short strategy where you would every month go long the top asset class and siumultaneously go short the bottom one... It would be interesting to see result for Long-Short strategy where you would every month go long the top asset class and siumultaneously go short the bottom one…

]]> By: WorldBeta http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2199 WorldBeta Mon, 09 Feb 2009 04:31:44 +0000 http://www.mebanefaber.com/?p=557#comment-2199 I have no idea exactly how most of these are run - but most are confined to a single asset class so they aren't really that similar to the above system. . .no diversification benefits. I have no idea exactly how most of these are run – but most are confined to a single asset class so they aren't really that similar to the above system. . .no diversification benefits.

]]> By: WorldBeta http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2198 WorldBeta Mon, 09 Feb 2009 04:29:44 +0000 http://www.mebanefaber.com/?p=557#comment-2198 I think they're right...monthly resolution data though. . .not daily. I think they're right…monthly resolution data though. . .not daily.

]]> By: Kostas http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2197 Kostas Mon, 09 Feb 2009 03:02:11 +0000 http://www.mebanefaber.com/?p=557#comment-2197 Hey Meb, the MaxDD for the SP-500 in your table looks like it does not include the 2007-2008 span... are those updated numbers with 2008?<br>Kostas Hey Meb, the MaxDD for the SP-500 in your table looks like it does not include the 2007-2008 span… are those updated numbers with 2008?
Kostas

]]> By: Steveal http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2196 Steveal Sat, 07 Feb 2009 09:23:45 +0000 http://www.mebanefaber.com/?p=557#comment-2196 I took a quick look at the funds you mentioned. They are all very much the same over the past year. They all lost ~50%.<br>How did they get such bad results when, apparently, using a winning system? I took a quick look at the funds you mentioned. They are all very much the same over the past year. They all lost ~50%.
How did they get such bad results when, apparently, using a winning system?

]]> By: oyz79 http://www.mebanefaber.com/2009/02/05/asset-class-rotation/comment-page-1/#comment-2195 oyz79 Sat, 07 Feb 2009 05:17:53 +0000 http://www.mebanefaber.com/?p=557#comment-2195 sorry, looking for the timing model (s&p) returns/deviations in each year post 1931. Not sure if you have this information available? sorry, looking for the timing model (s&p) returns/deviations in each year post 1931. Not sure if you have this information available?

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