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M F

 
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  • A Simple Post on Gold [View article]
    Lots in the academic literature on round numbers. One example:

    "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):

    "This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."
    Jan 30 02:21 PM | 2 Likes Like |Link to Comment
  • What a Difference a Year Makes! Endowment, Buy and Hold, and Tactical Returns [View article]
    Both a strategic (buy and hold) and tactical (using the timing model) allocation justifies up to a 20% allocation to gold.

    Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.
    Jul 23 02:27 PM | 1 Like Like |Link to Comment
  • 2009 Investment Returns: Timing Model vs. Endowment Model [View article]
    i'll try and post something to my blog in the next week on gold.

    PS, thanks for the read!
    Jul 21 06:49 PM | 1 Like Like |Link to Comment
  • Tactical Asset Allocation Based on the Yield Curve [View article]
    Updated charts here:

    www.mebanefaber.com/20.../
    Nov 16 01:46 PM | Likes Like |Link to Comment
  • How to Avoid the Next Galleon Group (or Madoff) [View article]
    sorry, SA kind of does what it wants with posts. you can find the original on my blog here:

    www.mebanefaber.com/20.../
    Oct 22 12:27 PM | Likes Like |Link to Comment
  • Simple Momentum Rotation Results [View article]
    Sorry boost, Seeking Alpha pulls content from my blog, so it is often out of context. But, not really sure how this is selling anything?
    Jul 2 01:18 PM | Likes Like |Link to Comment
  • Rotation and Timing Models Combined [View article]
    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 2 01:17 PM | Likes Like |Link to Comment
  • Stocks vs. Bonds: Return Statistics [View article]
    The comments reference Feb '09, while the table only includes through 2008. Sorry for the confusion. (It also assumes monthly rebal).

    Regardless, the 60/40 had a 60% drawdown in the 1930's. . .
    May 4 04:09 PM | Likes Like |Link to Comment
  • Timing the Nasdaq Composite [View article]
    Yes, Seeking Alpha edited my post (annoying) and somehow interpreted vol(atility) as vol(ume). Original is here:

    www.mebanefaber.com/20.../
    Mar 23 09:17 PM | Likes Like |Link to Comment
  • Timing Model Equity Curves [View article]
    SA pulls my content, which is often out of context. The white paper is here:

    papers.ssrn.com/sol3/p...
    Jan 8 03:31 PM | Likes Like |Link to Comment
  • The Capitalism Distribution: Fat Tails in Motion [View article]
    Ben, you can ask the author directly in the comments section of my blog World Beta. . .
    Dec 3 05:12 PM | Likes Like |Link to Comment
  • 100% Cash and Out of Sample Returns [View article]
    Read the link to the paper from the Journal of Wealth Management before you make an uninformed post.

    papers.ssrn.com/sol3/p...
    Oct 9 02:57 PM | Likes Like |Link to Comment
  • 15 Value Hedge Funds - Portfolio Update [View article]
    valueinvestor123 & Jake2 - please visit my blog and read a few posts before making such statements.

    Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.

    User 164258 - you are correct and the glitch is fixed on my blog. . .
    Aug 21 03:13 PM | Likes Like |Link to Comment
  • Tracking Mean Reversion After Bad Months [View article]
    worldbeta.blogspot.com...
    Jul 2 03:06 PM | Likes Like |Link to Comment
  • Tracking Mean Reversion After Bad Months [View article]
    Thanks Smart ETF - your comments are some of the few that are worthwhile and intelligent.

    I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.
    Jul 2 02:21 PM | Likes Like |Link to Comment
COMMENTS STATS
31 Comments
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