Rotation and Timing Models Combined

One of the benefits of writing a blog: readers from around the world take your research, verify/disprove it, improve it, and take it in new directions. Thanks to PC for the following charts. Monthly data (and from the looks of it excludes T-bill yield when sitting in cash).

Andrew Bary writes a Barron’s cover article on the endowments and no mention of The Ivy Portfolio? Shame on you Andrew. [click to enlarge]

Comments

[Sovestor:]

Shame on Barrons.
Shame on Andrew.
I like your post. Insightful.

Jun 29 01:04 PM

[DavidHumeTower:]

Mebane, I read "The Ivy Portfolio" in its entirety yesterday--very good. Maybe I missed something, but what are the mechanics by which the above portfolios are hedged?

Thanks,
PJ

Jun 29 08:04 PM

[Fred Swartz:]

As DavidHume Tower asked, how is this hedged? Interesting.

Jun 30 05:07 PM

[WorldBeta:]

Sorry guys, Seeking Alpha pulls content from my blog, so it is often out of context. I believe the above goes to cash when below a long term moving average.

Jul 02 01:17 PM