World Beta Blog

Quant TAA Paper Updated

February 20th, 2009 by Mebane Faber

Comments

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!

Quant TAA Paper here.

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…

More on this topic (What's this?)

Check This Out! This Is Great Stuff! (The Technical Take, 3/15/10)

It’s Not My Fault You’re An Idiot (The Wild Investor, 3/17/10)

Read more on The Internet Impact at Wikinvest

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

AvD

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?

Roberto

It seems I can not download your paper from SSRN.
Thanks

Joe

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?

GM

Cannot download from your link at SSRN. Can you post another link? Thanks

Woodshedder

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!

hswalj

Would love to see graphs depicting comparison BH to timing for the decade of the 30s and 40s.

Thanks.

Steveal

...and a further comment:

http://boards.fool.com/Message.asp?mid=27458173

Steve

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The opinions expressed on this site are those solely of Mebane Faber and do not necessarily represent those of Cambria Investment Management, Inc. (“CIMI”). This website is made available for educational and entertainment purposes only. Mr. Faber is an Investment Adviser Representative of CIMI, an investment adviser registered with the states of California and Utah. This website is for informational purposes only and does not constitute a complete description of the investment services or performance of CIMI. Nothing on this website should be interpreted to state or imply that past results are an indication of future performance. A copy of CIMI’s Part II of Form ADV and privacy policy is available upon request. This website is in no way a solicitation or an offer to sell securities or investment advisory services. Mr. Faber and CIMI disclaim responsibility for updating information. In addition, Mr. Faber and CIMI disclaim responsibility for third-party content, including information accessed through hyperlinks. Faber receives affiliate commissions through Amazon and AlphaClone.

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