quaazy1

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Sorry to be so basic, but... Does that mean that your model took the
-4% hit through November??? I can't get the math to work out anywhere near what your paper suggests on a cumulative basis unless I trick the model to get out of the market BEFORE the Nov 2007 drop of -4%, for example (working back through history...)

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Let me restate the question... What was the most recent month that the S&P timing model signaled a move to cash?

Quant Approach to TAA: Equity-Like Returns with Bond-Like Volatility

Not sure if I did this right, but I show a lower return for the timing model on the S&P using a 10 month trailing SMA for data from 1/1926 to current... What month did the S&P timing model signal a move to cash?