Vill tipsa om ett intressant dokument skrivet av Mebane T. Faber som även har skrivit boken The Ivy Portfolio (som för övrigt är en riktigt bra bok, ska försöka återkomma med recension när jag har tid), som visar hur en trendföljande strategi liknande den som LongShort PPM försöker efterlikna har fungerat historiskt. I korthet kommer han fram till att denna strategi sedan 1973 har haft liknande avkastning som att alltid ligga investerad (buy-and-hold), fast till mycket lägre risk:
My purpose in this paper was to create a simple-to-follow method for managing risk in a single asset class and, by extension, a portfolio of assets. A non-discretionary, trendfollowing model acts as a risk-reduction technique with no adverse impact on return. When tested on various markets, risk-adjusted returns were almost universally improved. Utilizing a monthly system since 1973, an investor would have been able to increase riskadjusted returns by diversifying portfolio assets and employing a market-timing solution. In addition, the investor would have also been able to sidestep many of the protracted bear markets in various asset classes. Avoiding these massive losses would have resulted in equity-like returns with bond-like volatility and drawdown.
Som sagt, intressant läsning. Dokumentet finns att ladda ner här: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
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