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Strategy Name Diversified Timing On Endowment Asset Allocation Model
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Strategy Class PORTFOLIO STRATEGY -- ASSET ALLOCATION STRATEGY
Styles Diversified Timing Over Multiple Assets
Model Portfolio more

Portfolios

Last Valid Date

Last Transaction Date

1 Year

3 Years

5 Years

 
Sharpe(%) AR(%) Sharpe(%) AR(%) Sharpe(%) AR(%)  
P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury
12/31/2009 12/04/2009 116.74 15.5 39.4 5.45 59.2 7.64 delete
5 Asset with Long Bond 10m SMA Timing
12/31/2009 12/04/2009 117.33 15.62 39.41 5.46 59.23 7.66 delete
P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months
12/31/2009 12/04/2009 108.06 13.58 50.76 6.17 63.94 7.51 delete
Short Description

This strategy applies a long term timing rule over each asset in a properly planned asset allocation portfolio. It reduces the overall portfolio risk while still maintaining (or even increasing) the return.

Description

This strategy is based on Mebane T. Faber's article in seekingalpha.com. It uses a 10 month simple moving average in each asset in the portfolio. A so called Endowment model portfolio is maintained here. This strategy shows that by applying market timing as simple as a moving average could enhance a portfolio's risk adjusted return while avoiding big loss during a market crisis such as the one in 2008. Notice by using market timing, one could choose a once considered 'risky' long term treasury bond in place of the fixed income asset.

Endowment Model

20% US Stocks (S&P 500)                 SPY
20% Foreign Stocks [MSCI EAFE]   
EFA
20% US 10Yr Gov Bonds                     IEF
20% Commodities [GSCI]                  QRAAX
20% Real Estate [NAREIT]                  IYR

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