Comments on: Quant TAA Paper Updated

By: GM

GM — Fri, 27 Feb 2009 20:41:19 +0000

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

By: AvD

AvD — Tue, 24 Feb 2009 20:19:09 +0000

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?

By: Joe

Joe — Tue, 24 Feb 2009 00:24:26 +0000

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?

By: Roberto

Roberto — Mon, 23 Feb 2009 17:19:00 +0000

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

By: GM

GM — Mon, 23 Feb 2009 09:51:59 +0000

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

By: Woodshedder

Woodshedder — Sat, 21 Feb 2009 20:07:46 +0000

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!

By: hswalj

hswalj — Sat, 21 Feb 2009 14:15:30 +0000

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

Thanks.

By: Steveal

Steveal — Fri, 20 Feb 2009 19:54:20 +0000

...and a further comment:

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

Steve