AFJ Garner

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Mon Sep 29th 14:08 PM | Rating: 0 0
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After a Down Month, Wait a Month to Buy an Asset Class

What an unpleasant and unnecessary first comment above. I have much enjoyed Mr Faber’s comments on various websites and very much enjoyed his paper on asset allocation. Mr Faber somewhere described himself as a “quant lite” and has made some valuable and interesting comments on stock market behaviour based on his back testing and observation. I do not happen to favour mean reversion as I have never been able to prove its efficacy in my own back testing but that does not lead me on to insult Mr Faber.

How sad that can humanity work itself up into such unjustified and inappropriate rage over such small issues. Is it any wonder that peace, in every sense of the word, eludes us?

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Fri Nov 2nd 17:58 PM | Rating: 0 0
Commented on:
Asset Class Update: Cross Market Momentum

I am also not entirely sure that I am happy working with monthly data points which no doubt downplay max DD and possibly boost CAGR. I have worked with both monthly and daily data recently and tend to prefer the latter. Which makes the data collection problem even more acute.
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Fri Nov 2nd 17:31 PM | Rating: 0 0
Commented on:
Asset Class Update: Cross Market Momentum

I agree with your approach (I am testig this in Trading Blox) and no I have seen no such research. Interesting that Fundx does not do this - each asset class is treated separately. Trouble is, as both of us know only too well, ETF history is too short for meaningful test results. So, you either have to work with Mutual Fund data or create your own total return indices with suitable assumptions for tracking error.
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Fri Nov 2nd 17:31 PM | Rating: 0 0
Commented on:
Asset Class Update: Cross Market Momentum

I agree with your approach (I am testig this in Trading Blox) and no I have seen no such research. Interesting that Fundx does not do this - each asset class is treated separately. Trouble is, as both of us know only too well, ETF history is too short for meaningful test results. So, you either have to work with Mutual Fund data or create your own total return indices with suitable assumptions for tracking error.
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