Mebane Faber wrote a paper “A Quantitative Approach to Tactical Asset Allocation.” which showed that using a 10 month moving average to time entry/exit positions resulted in highly signifcant improvement in returns over buy and hold, with few false signals or whiplash.
The method assumes bulls and bears are symmetrical, while tops tend to be long events and bottoms move faster towards a crash.
No comments:
Post a Comment