For real this time!
Somewhere in the Internet ether, between my computer and the SSRN I managed to send in the wrong PDF. I thank graciously the (many) readers who caught my error. The good news is the the results were understated in the incorrect paper.
Please redownload, and apologies for the inconvenience!
NOTE: A number of readers have noticed that the 50% drawdown in Exhibit 5 does not match the drawdown I mention in the text. That is because they occured at two different times! The largest drawdown for B&H occured in 1932 while Timing only had a 44% DD. When the market cratered again in the early 1940s, both B&H and timing suffered 50% DDs…
…and a further comment:
http://boards.fool.com/Message.asp?mid=27458173
Steve
Would love to see graphs depicting comparison BH to timing for the decade of the 30s and 40s.
Thanks.
Mebane, wonderful work. I've forwarded it to everyone I know. Nice to see the inclusion of leveraged returns.
In a previous post you noted the system was long bonds, 20% allocation.
I've not had much experience trading bonds, so I'm not sure exactly the best way to go about that. Probably a stupid question, but would you mind elaborating how you would establish that long position?
Thanks!
Cannot download from your link at SSRN. Can you post another link? Thanks
It seems I can not download your paper from SSRN.
Thanks
It appears that SSRN has a broken link to the paper. When clicked it returns a 'Server Firewall' error. Is the updated paper available anywhere else?
A few quick questions that I'd liek to get your thoughts on:
1) the merits of hedging international exposure into domestic currency for a private investor?
2) How exactly does the implementation of a 2x leveraged exposure work, given that from what I understand there will be times when the portfolio as given is not fully invested. Would this require borrowing to maintain proper portfolio weights, despite the fact that you are borrowing only to have it invested in cash? I'd assume that if you implement the 2x leveraged portfolio but repay borrowings when not fully invested that it would increase the risk profile a bit by the virtue of having larger than expected weights in the asset classes you are invested in.
Cliff notes: Should i hedge international exposure and do I repay borrowings when not fully invested?
Hi,
Can you comment on how you dealt with rebalancing the B&H portfolio as well as the Timing portfolio – was this rebalanced monthly or annually or maybe not at all?
Thanks
GM
Hi,
Can you comment on how you dealt with rebalancing the B&H portfolio as well as the Timing portfolio – was this rebalanced monthly or annually or maybe not at all?
Thanks
GM