winyaz

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

Hi,
Your timing model is interesting and I appreciate your articles on it, the endowment strategies, etc. My only concern is that in a falling market 1 month seems like an eternity to bail out of a position. Checking the 40 week sma could get you out quicker and would do much better in trending markets ... but much worse in flat markets - PCRIX would have been whipsawed repeatedly from 2004 to 2007.

Have you considered different approaches or timeframes? Perhaps weekly signals but with a filter to try to limit the whipsaws? I'm interested in thoughts on this subject.

Don