No. of Recommendations: 2
At a shallower level, I'm skeptical about how practical his proposed approach would be for individual mechanically inclined asset allocators

I read the first half of his paper and skimmed the rest. Pretty ho-hum. Different values of parameter have different results. Next up: water is wet--panic now.
Different start dates have different results. I kinda figured that out the first time I ran a screen backtest at portfolio123.

Heck, we all know that sometimes even doing a screen's purchases with a 1 hour time difference will have different outcomes.

You know, it doesn't have to be all one thing or nothing. I run GEM strategy in a few distinct accounts and I have them on different cycles. Also have some of them doing monthly (end-of-month) and some of them on 1st Monday of the month, 2nd Monday, etc. By happenstance, they don't all have the same lookback period. Some 7 months, some 10 months, etc.
Print the post  

Announcements

What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.