The purpose of this paper is to present a simple market timing method that improves the risk-adjusted returns across various asset classes. An easy-to-follow system is presented that achieves approximately the same returns as buy-and-hold (and in some cases, higher), with marked reductions across virtually every risk measure for each of the five asset classes examined. The timing method is then examined since 1972 in an allocation framework utilizing a combination of publicly traded indices including the Standard and Poor’s 500 Index (S&P 500), Morgan Stanley Capital International Developed Markets Index (MSCI EAFE), Goldman Sachs Commodity Index (GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and United States Government 10-Year Treasury Bonds. The empirical results are equity-like returns with bond-like volatility and drawdown.

For a copy of Mebane's research paper, click here.

This event will take place at:

Golden Gate Univeristy

Room 5210

Tuesday, September 26, 4:00 to 6:00 p.m.

Members $10, Guests $20

Map