Mebane Faber

1. A Quantitative Approach to Tactical Asset Allocation (working paper 2006; Journal of Wealth Management 2007; updated Feb 2013) — book or paper, 2013
   The full 70-page PDF was read as text.

• FilterSimple, purely mechanical logic; the same model and parameters for every asset class; price-based only.
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• EntryBuy rule: buy when the monthly price is above the 10-month simple moving average.
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• EntryThe model is updated once a month, on the last day of the month, with entries and exits at that close; price moves during the month are ignored.
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• ExitSell rule: sell and move to cash when the monthly price is below the 10-month simple moving average.
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• Size and riskThe tested portfolio spreads equally over five asset classes (US stocks, foreign stocks, bonds, real estate, commodities), each held only while above its average.
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• Size and riskResults exclude taxes, commissions and slippage. He notes turnover of the timing system near 70% versus about 20% for buy-and-hold, which matters a lot for taxes.
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• DisciplineReported on the S&P 500 from 1901 to 2012: invested about 70% of the time, fewer than one round trip a year, the worst drawdown cut from 83.66% to 42.24%, yet it lagged buy-and-hold in roughly half of all years.
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• DisciplineHe says a trend-following model can underperform buy-and-hold in a roaring bull market; the benefit is lower volatility and drawdown, not a higher average return (average returns were 11.26% vs 11.22%).
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Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

• An exact 1% band around the average (as in Jeremy Siegel’s 200-day test that the paper cites) is Siegel’s rule, not Faber’s; Faber’s rule is the plain monthly crossover.

Monthly signals on traditional asset classes, with data back to 1901 and a bull-market era after it; it is not a crypto rule, and a monthly filter reacts slowly to a fast crash. Past drawdown figures do not cap future drawdowns.