sprintracer

Toward a New Model of Diversification

Roger,
Check out Mebane Faber's published paper on his site worldbeta.blogspot.com... He suggests using a portfolio very similar to you're suggestion but based on a 10 month sma and monthly prices. Basically the same as the 200 day sma. His paper includes 5 asset classes with backtesting to 1972 and he updates the current returns on his site for some out-of-sampling data.