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  • Using Mebane Faber's Updated Risk Reduction Model [View article]
    Lowell, great piece. I like your approach here. I'm a big fan of Meb Faber's work but one thing I find vexing is how Faber's very own global tactical allocation ETF (symbol GTAA) that basically utilizes the principals laid out in his writings is doing poorly. Since it's 2010 inception GTAA has returned -0.5%, which is much worse than a buy-and-hold, globally-diversified portfolio. Based on what I've read he uses many sub asset classes (like individual country ETFs instead of VEU for example) and a rotation system into highest performing asset classes, which should in theory increase the portfolio's alpha, yet it's underperformed in each of the 3 years. Any thoughts? It could be that his extensions have increased the portfolio's risk and he's had a bad luck start, but I'm surprised to see lagging performance over 3 years.
    Jul 17, 2013. 03:46 PM | Likes Like |Link to Comment
  • An ETF Trend-Following Plan For All Seasons [View article]
    Here is what I wonder. Is this strategy always better than buy and hold and rebalance periodically (i.e. textbook Swenson)? If you diligently sell on 8% dips and below the 200-day and buy when back above, in many, many cases you are taking net losses, albeit saving yourself from the big downturns. But in my back-of-the-envelope math, these frequent losses add up and seem to make me worse off than the Swenson or buy and hold approaches. Would love to see some more research on this, as I do like your strategy in principle.
    Mar 8, 2012. 02:31 AM | Likes Like |Link to Comment