Comments on: What a Difference a Year Makes! Endowment, Buy and Hold, and Tactical Returns

By: Samuel K.

Samuel K. — Sun, 20 Jun 2010 19:43:51 +0000

Mebane – It is too bad they did not mention your book. I just finished reading it and it is of tremendous value to those of us managing their own portfolio and looking for simplification yet sophistication. If I were to summarise your book I would say ” Very Simple yet Very Sophisticated”

By: Eddie

Eddie — Tue, 04 Aug 2009 20:00:48 +0000

You might try using GSG or use the actual index: $GTX – Goldman Sachs Commodity Index (GSCI) – Total Return (EOD)

By: Eddie

Eddie — Tue, 04 Aug 2009 15:00:48 +0000

You might try using GSG or use the actual index: $GTX – Goldman Sachs Commodity Index (GSCI) – Total Return (EOD)

By: Wyatt

Wyatt — Thu, 30 Jul 2009 15:34:47 +0000

Does anyone have a breakdown of the timing model and which asset classes are invested in wach month of the five going back any further than May 2007 (when I have a SMA for DBC)?

By: pinko

pinko — Sun, 26 Jul 2009 02:45:28 +0000

“Diversification” means investing in asset classes that other people don't invest in (otherwise correlation). “Private Equity” is just another word for staying ahead of the commoditized investment in asset classes once difficult to enter. Going forward, the old asset classes won't create the old “diversification” returns.

By: Name

Name — Thu, 23 Jul 2009 23:27:26 +0000

hi - we created a website to monitor a version of the 1x timing model. Come on over and take a peak, Mr. Faber!

http://taaforthemasses.blogspot.com/

By: oyz79

oyz79 — Thu, 23 Jul 2009 20:41:29 +0000

Hi Mebane, The mainstream media may not be giving you any love but I am – I've got your portfolios feature on my blog and am tracking some of the momentum strategies you and others have developed. Great work as always, I'll keep sending traffic your way! -Scott

By: Wyatt

Wyatt — Thu, 23 Jul 2009 15:47:56 +0000

Has there been any research done as leveraged rotation top 3? It seems that would be the best return, however there would be more risk.

By: macclary

macclary — Thu, 23 Jul 2009 07:41:00 +0000

Here is an example buy & hold portfolio that might be in the same ballpark as Yale. Note though that these stats aren't totally comparable because the start date is different: 1971, and the year-end is different: December.

CAGR 12/1971 - 12/2007: 16.62%
2008 performance: -33.34%

Portfolio Allocation: 47.8% EM , 13.3% GOLD , 12.8% SCV , 10.8% LCV , 6.6% 5 Yr T , 3.9% COMM , 3.6% LTGB , 1.3% MKT-TSM , 0.0% REIT
http://www.riskcog.com/portfolio.jsp#50d01wd321...

If you optimize the portfolio including returns through 2008, then you get something approaching the best static portfolio that could have been chosen to compete with Yale's performance.

CAGR 12/1971 - 12/2008: 14.27%
2008 performance: -17.63%

Portfolio Allocation: 48.2% EM , 31.5% LTGB , 20.3% GOLD , 0.0% SCV , 0.0% LCV , 0.0% 5 Yr T , 0.0% COMM , 0.0% MKT-TSM , 0.0% REIT
http://www.riskcog.com/portfolio.jsp#5dpi5r8005...