World Beta Blog

Question - I've been looking for return results for the timed 5 asset Ivy portfolio and also for the best one, two, or three asset class rotation system from the book for the 2009 year. Do you have results for these?

A guy named Clive posted the timed 5 asset results part way down this page: http://www.bogleheads.org/forum/viewtopic.php?t...

I added rough estimates for 1972 and 2009 and posted it here: http://www.riskcog.com/portfolio-theme2.jsp#5sfr

Scott's Investment blog posts monthly updates for a few systems: http://scottsinvestments.blogspot.com/2009/07/b...

Also see Meb's previous posts such as: http://www.mebanefaber.com/2009/06/25/combining...

Hey Mebane - stockcharts.com is puking again, so the link at http://www.theivyportfolio.com/timing-updates/ isn't working at the moment.

One thing I've been thinking about: I've been interested in timing strategies for a while now and have been trying to 'justify' it's use. By that I mean, is timing really favorable vs. Buy/Hold? I've done plenty of research and have seen approaches beating Buy/Hold; and approaches that don't beat Buy/Hold.

From what I've seen, the issue is the data set chosen for the study. You offset that dataset by a factor (x) and your results could be significantly different.

In the end, I've seem no evidenct that is really convincing to use a timing model. The only benefit I see is risk management and not a way to achieve alpha. So using timing on a portfolio could return very litte (or less than a benchmark) but give you peace of mind because you're out of the market.

Some one tell me if I'm missing something. Comments from the timing community?

I'm not going to talk someone into taking up market timing, but I can throw a few points out there. I think than some people are more suited to buying and holding, and others are more suited to market timing. I also think that many people can do neither successfully. I have both types of portfolios right now and I hope they succeed ;)

The downsides to BnH is that you have to do nothing through potentially large drawdowns. During the "accumulation" stage of life when you are adding to a portfolio you always wonder if it is a good time to add money or if you should wait. During the "retirement" stage of life drawdowns can be devastating, so holders generally have to have very low return portfolios. The upside is that BnH it can be very low maintenance, and if you diversify broadly it can offer relatively low volatility.

Market timing can be quite profitable and I think many would agree that it can add alpha in both the conceptual sense and a raw mathematical sense. If you follow one of Meb's published systems you can get a very low volatility investment program. There are drawbacks of course because you may have to mechanically make quite a few trades that are a waste of time after the fact. Also you have to overcome the temptation to stray from your investing program during the frequent times that you are trading the portfolio.

Reducing risk is not something trivial, and should be pursued more vigorously by the investors everywhere. One example benefit is that you can use a modest amount of leverage to generate exceptional returns once risk is well managed. For instance I just deployed a simple monthly multi-asset rotation system that is based on looking at assets over 3 time periods in different ways. It uses ~2x leverage when it is in the market. The backtest for the last 20 years shows a cagr of 29.8% with the worst 12mo period clocking -37.5% and the best 12mos 201%. I personally think that this worth my time to implement this compared to putting the same assets toward BnH, perhaps some would disagree...

Nice, I shared the same link you posted already... doh

Organ Donation: many people do not sign up as donors because they do not think about it or do not want to think about it. Organ donation should be an opt-out when you get your drivers license. Force the thought process.

Bone Marrow Transplant: Again, people do not think about it and/or think it will be incredibly painful (once true, but no longer). Signing up with the Bone Marrow Transplant Registry is easy. Offering a nominal payment to sign up and another payment if selected would make sense.

Does it make conception harder though?