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R Faber model trade stats

cagr 0.07370385 0.04863027 volat 0.06720597 0.15948145 sharpe 1.09668602 0.30492742 maxdd 0.11335030 0.56876409 1st column is using the market timing mechanism mentioned on Faber’s paper, 2nd column is simple buy and hold on the S&P. Sharpe is calculated with a risk free rate of 0%. Looks like it trounced B&H; however, there’s still room for improvement. Eg the B&H Sharpe on ...
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Faber model replicated using R

Green is the equity line of the standard 20% allocation, 5 indices Faber model. Yellow is the equity line of buying and holding the S&P 500. Also included is the drawdown series for the Faber model. Will post CAGR, Sharpe, and other statistics soon. ...
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Basic trade stats done for Faber model, indices in isolation

In general, use of the 10 week SMA timing system improved returns relative to volatility (measured by Sharpe) and max drawdown over the same stats for buying and holding the same index. There were some discrepancies in the stats that I produced with R and the ones that Faber claimed in his paper. Especially in the trade stats for trading the ...
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My research “queue”

Here’s a rough list of what I want to look at in the near future:
  • replicating Faber’s model, and improving it
  • measuring idiosyncratic returns, or the degree of stock returns affected by internal factors (company news, performance, etc.), isolated from the effect of external factors (macro, sector, and other systemic factors). The type of analysis in this article by ...
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ARTICLE: the future of quant finance

http://bit.ly/bUtLuG I completely agree with the above article. Quant finance is dominated by high frequency trading; actually, in most people’s minds HFT is quant/computation finance. Everyone’s using the same price and volume market data, trying to squeeze out profits by trading at the lowest latency possible. HFT is being commoditized. So you look at other places in the value chain where the ...
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Faber’s market timing 2

R source for graph, calculation of equity for 10 week trading system seen below. S&P 500 index data since 1973. Playing around with an example is a great way to learn. Finishing up the Faber system for the 5 indices he uses (S&P, MSCI EAFE, GSCI, NAREIT, and 10 year bonds), trading each in isolation. Waiting for S&P and GS ...
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