Comments on: Quant Approach to TAA updated for 2009

By: CostBasis

CostBasis — Mon, 10 May 2010 03:12:37 +0000

Working backwards from the data in the paper and the 2006-2009 table above, I used Excel's XIRR function to approximate the standalone 2009 numbers:

2009 B&H: 18.83%
2009 Timing: 13.99%

By: CostBasis

CostBasis — Sun, 09 May 2010 22:12:37 +0000

Working backwards from the data in the paper and the 2006-2009 table above, I used Excel's XIRR function to approximate the standalone 2009 numbers:

2009 B&H: 18.83%
2009 Timing: 13.99%

By: CostBasis

CostBasis — Mon, 03 May 2010 06:27:11 +0000

I was also wondering what the 2009 numbers were, standalone.

By: WHampton

WHampton — Sat, 13 Mar 2010 02:24:05 +0000

Jay, I would echo your comments completely.

By: WHampton

WHampton — Sat, 13 Mar 2010 02:20:55 +0000

Meb, I would echo Jay's comments above almost verbatim.

By: HFunder

HFunder — Thu, 11 Feb 2010 10:08:29 +0000

Wow.

Ad shorts via futures and proper position sizing depending on vol – et voila, you are running a proper trend-following hedge fund.

By: rsmlp

rsmlp — Wed, 10 Feb 2010 12:58:15 +0000

one further point as regards prospective performance. from the lows of 1974 until sometime in 1998, the model UNDERPERFORMED the SP500. that's about 25 yrs of underperformance. that said, the SP was up about 16% acr during that period. the point is that this model will likely do fine over a long period because it will likely underperform a BH for sustained periods of time and people will tire of it.

By: WorldBeta

WorldBeta — Tue, 09 Feb 2010 01:47:58 +0000

It is in the paper and book – the broker call rate.

By: hswalj

hswalj — Tue, 09 Feb 2010 00:09:04 +0000

does anyone know what assumed interest rate is for the published results for leveraged timing?

By: Dave D

Dave D — Mon, 08 Feb 2010 23:21:18 +0000

I like the idea of being able to pay a nominal fee to gain access to Cambria research and strategies, but not if the same information is going to be available later on in a publication. I understand the desire to publish, but it seems to me there should be a line between publication and fee-based investment ideas.

You might consider, as a value-add to the fee-based service, to allow access to databases you use in your research, such that your subscribers could expand on your research to fit their specific needs or interests. Of course if those databases are themselves fee-based or copyrighted, that wouldn't work.