Below I update the post from May on mean reversion.
I’m not really sure what sort of benchmark to compare this system to, other than buy and hold of the asset class over the period, or maybe all monthly observations which is around .7% across the board. This system may prove to be a nice complement to the GTAA timing model. The stats show the date the system triggered, then the resulting “wait a month then invest for two months performance”.
S&P500 triggered on, performance:
6/30/08: -7.6%
9/30/08: -6.2%
10/30/08: -7.6%
1/30/09: 19.17%
2/30/09: 15.69%
Average return is -0.41%
10 Yr Bonds triggered on, performance:
1/31/09: -0.59%
MSCI EAFE triggered on, performance:
1/31/08: 4.5%
6/30/08: -17.87%
9/30/08: 0.34%
10/30/08: -4.37%
1/30/09: 20.18%
2/30/09: 36.65%
Average return is 3.24%.
NAREIT triggered on, performance:
6/30/08: 1.67%
10/30/08: -3.24%
11/30/08: -32.77%
1/30/09: 33.61%
2/30/09: 30.71%
Average return is 6%
