Meb Faber/Cambria/Trinity Funds

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Gemini
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Meb Faber/Cambria/Trinity Funds

Post by Gemini » Thu Apr 12, 2018 8:06 pm

I have been listening to Meb's podcast and it is a good one.

Has anyone from here invested with Cambria? I checked the website and there is 0% management fee to invest into the Trinity funds, which are rated 1-6 from least to most aggressive, with a $100K minimum. I believe you pay per fund though, although not sure. They also have some ETFs.

Any thoughts on this investing strategy?

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arcticpineapplecorp.
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Re: Meb Faber/Cambria/Trinity Funds

Post by arcticpineapplecorp. » Thu Apr 12, 2018 9:24 pm

I enjoy Meb's podcast.

It seems the expense ratios are a bit higher than I'd like to pay (between .47% and .82% mostly) and I don't do trend following. I like Vanguard. Funds are well diversified and much cheaper. Nothing against Meb.

source:
https://www.cambriainvestments.com/trinity-portfolio/
"Invest we must." -- Jack Bogle | “The purpose of investing is not to simply optimise returns and make yourself rich. The purpose is not to die poor.” -- William Bernstein

anoop
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Re: Meb Faber/Cambria/Trinity Funds

Post by anoop » Thu Apr 12, 2018 9:31 pm

Too complicated for me.

If I were interested in trend following I would build a portofolio with 5 funds and use the signals published by dshort.com at the end of every month.

But even that is too much for me. So I’m only in money market and individual treasuries. :)

fennewaldaj
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Re: Meb Faber/Cambria/Trinity Funds

Post by fennewaldaj » Thu Apr 12, 2018 10:31 pm

I too enjoy his podcast. I have considered buying a small position in global value (GVAL). The share holder yield series also looks interesting and as far as I know no one else has anything similar. They are all kinda expensive (but not terrible for semi active strats) though perhaps that will change if they get more assets at some point.

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Fri Apr 13, 2018 12:40 pm

I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

hilink73
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Re: Meb Faber/Cambria/Trinity Funds

Post by hilink73 » Fri Apr 13, 2018 1:31 pm

willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.

MidMNtom
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Re: Meb Faber/Cambria/Trinity Funds

Post by MidMNtom » Fri Apr 13, 2018 1:35 pm

Gemini wrote:
Thu Apr 12, 2018 8:06 pm
I have been listening to Meb's podcast and it is a good one.

Has anyone from here invested with Cambria? I checked the website and there is 0% management fee to invest into the Trinity funds, which are rated 1-6 from least to most aggressive, with a $100K minimum. I believe you pay per fund though, although not sure. They also have some ETFs.

Any thoughts on this investing strategy?
As a quant tourist (at best,) I love Mebs podcasts. He has a gifted way of explaining the complex in a fashion that tourists can follow.
I've learned a lot listening to these on my hour long walks....
I have not invested with him.

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willthrill81
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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Fri Apr 13, 2018 2:14 pm

hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

hilink73
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Re: Meb Faber/Cambria/Trinity Funds

Post by hilink73 » Fri Apr 13, 2018 2:25 pm

willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
Thanks, WT81.
I'm still wondering if these indicators are really feasible for a European investor.

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willthrill81
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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Fri Apr 13, 2018 2:27 pm

hilink73 wrote:
Fri Apr 13, 2018 2:25 pm
willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
Thanks, WT81.
I'm still wondering if these indicators are really feasible for a European investor.
If you mean feasible to be "easily accomplished," then certainly yes.

If you mean feasible to be "will work as well in the future as in the past," then that is unknowable.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

azanon
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Re: Meb Faber/Cambria/Trinity Funds

Post by azanon » Fri Apr 13, 2018 2:30 pm

Gemini wrote:
Thu Apr 12, 2018 8:06 pm
I have been listening to Meb's podcast and it is a good one.

Has anyone from here invested with Cambria? I checked the website and there is 0% management fee to invest into the Trinity funds, which are rated 1-6 from least to most aggressive, with a $100K minimum. I believe you pay per fund though, although not sure. They also have some ETFs.

Any thoughts on this investing strategy?
Trinity fund actual costs range from 0.47% to 0.82% (source: cambriainvestments.com), and that's not counting the additional 0.15% fee that Betterment charges to use their platform.

IMO, Meb only has one viable ETF that is potentially boglehead approved, which is their ETF, Global Asset Allocation (ticker GAA), for an ER of 0.25%. I personally like the ETF Global Value (GVAL), but he wants a whopping 0.68% for it, which is too rich for me and probably most bogleheads.

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Re: Meb Faber/Cambria/Trinity Funds

Post by garlandwhizzer » Fri Apr 13, 2018 4:21 pm

I believe that Meb Faber is highly intelligent, very honest, very knowledgeable, and that his etfs are solidly built on existing backtesting research. The question is: does that reliably equate to improved returns for investors after costs going forward? Thus far in the short lifespan of Meb's funds, the answer has been no. SYLD, Meb's US all cap fund with a strong value slant and a moderate small slant has underperformed TSM since its inception. Likewise GVAL, his international all cap with a strong slant to small and value has underperformed VXUS since its inception. Both however have short lifespans thus far: 4 years for GVAL and 5 years for SYLD, bad years for the both value and small. If you're a strong believer in factors, it seems to me that these are reasonable options. Personally I am a bit skeptical about backtesting research in general and about whether factors will outperform going forward after costs. On the other hand, small and value have underperformed for so long now that, as factors go, they're attractively priced at present relative to the others. If S and V factor returns come roaring back, Meb's funds will outperform. Perhaps this will happen in the future, perhaps not. I'm on the sidelines at present.

Garland Whizzer

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Re: Meb Faber/Cambria/Trinity Funds

Post by david1082b » Fri Apr 13, 2018 4:34 pm

garlandwhizzer wrote:
Fri Apr 13, 2018 4:21 pm
SYLD, Meb's US all cap fund with a strong value slant and a moderate small slant has underperformed TSM since its inception.
The latest numbers seem to show a tiny outperformance for SYLD versus Total Stock Market funds http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D

M* classifies SYLD as "mid-cap value". The mid-400 value ETF MDYV has underperformed SYLD http://quotes.morningstar.com/chart/fun ... A%5B%5D%7D

azanon
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Re: Meb Faber/Cambria/Trinity Funds

Post by azanon » Fri Apr 13, 2018 4:47 pm

garlandwhizzer wrote:
Fri Apr 13, 2018 4:21 pm
I believe that Meb Faber is highly intelligent, very honest, very knowledgeable, and that his etfs are solidly built on existing backtesting research. The question is: does that reliably equate to improved returns for investors after costs going forward? Thus far in the short lifespan of Meb's funds, the answer has been no. SYLD, Meb's US all cap fund with a strong value slant and a moderate small slant has underperformed TSM since its inception. Likewise GVAL, his international all cap with a strong slant to small and value has underperformed VXUS since its inception. Both however have short lifespans thus far: 4 years for GVAL and 5 years for SYLD, bad years for the both value and small. If you're a strong believer in factors, it seems to me that these are reasonable options. Personally I am a bit skeptical about backtesting research in general and about whether factors will outperform going forward after costs. On the other hand, small and value have underperformed for so long now that, as factors go, they're attractively priced at present relative to the others. If S and V factor returns come roaring back, Meb's funds will outperform. Perhaps this will happen in the future, perhaps not. I'm on the sidelines at present.

Garland Whizzer
One correction I'd make here is to point out that GVAL makes no attempt to invest in small caps, or its strategy doesn't involve that. It ends up shaking out in the mid-cap category, but he's probably forced to buy some smaller stocks because some of the countries making the "bottom 10" on valuations, don't really have any large cap companies. His intra-company screens though screen for value, not size. And going on memory, I think the only size screen he sets is actually a minimum market cap size, not a maximum.

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Re: Meb Faber/Cambria/Trinity Funds

Post by nisiprius » Fri Apr 13, 2018 6:22 pm

Does the orange line look to you like an elephant in the living room?

Image

Mebane Faber attempted to put into action his much-downloaded paper and his much-lauded tactical asset allocation strategy, in the form of an ETF with the ticker symbol GTAA, for Global Tactical Asset Allocation.

The chart above is the comparative performance of GTAA (orange line) and the plain vanilla traditional Vanguard LifeStrategy Conservative Growth fund, VSCGX (blue line), during the period when Faber was managing the fund.* VSGCX is about 40% stock, and has international exposure in stocks. It's broadly comparable to GTAA without tactics or exotic asset classes.

Because GTAA is dead I can't look at it in PortfolioVisualizer but it looks obvious to the eye that it experienced roughly comparable volatility to the traditional fund, while earning only about 1/4th the return.

When the ETF was first discussed in this forum, member "Stratton" said "I'm going to love this. No more backtesting. It's all about running real money going forward."

This has got to be relevant in judging Faber's ability to translate his plausible-sounding and impressively-backtested into actual results "running real money going forward." Fans of Mebane Faber have explained it away in various ways--the one I like is that "he didn't actually manage the fund according to his own strategy." But what happened to GTAA is a fact, and it is a fact that needs to be taken into account in evaluating his strategies.

*Faber left GTAA in 2014 and for a while it was managed by a firm named Morgan Creek, with even more disappointing results. The ETF closed and ceased trading on 5/12/17.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

garlandwhizzer
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Re: Meb Faber/Cambria/Trinity Funds

Post by garlandwhizzer » Sat Apr 14, 2018 12:19 pm

azanon wrote;
One correction I'd make here is to point out that GVAL makes no attempt to invest in small caps, or its strategy doesn't involve that. It ends up shaking out in the mid-cap category, but he's probably forced to buy some smaller stocks because some of the countries making the "bottom 10" on valuations, don't really have any large cap companies. His intra-company screens though screen for value, not size. And going on memory, I think the only size screen he sets is actually a minimum market cap size, not a maximum.
Good point. GVAL is mostly mid-cap and doesn't strongly target the size factor. It does however have 20.45% SC and 4.87% MC which does provide some exposure to the size factor. On the other hand, VXUS is a mega-cap/LC dominated fund with only 4.86% SC and O.45% SC (numbers from Morningstar). Both offer diversified international equity exposure but GVAL, clearly has a strong value slant and more exposure to small/mid caps relative to VXUS. VXUS is derived from a cap weight index while GVAL uses a factor approach--value and to a lesser extent size with a negative MOM screen. The difference is a matter of degree when it comes to the small factor. The theoretical backing for GVAL is strong, but in its short lifetime that has not translated into improved investing results.

Garland Whizzer

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Re: Meb Faber/Cambria/Trinity Funds

Post by marcopolo » Sat Apr 14, 2018 3:05 pm

willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
What does the unemployment rate in the US tell us about the forward looking EM/international stock market performance?
Once in a while you get shown the light, in the strangest of places if you look at it right.

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willthrill81
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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Sat Apr 14, 2018 3:24 pm

marcopolo wrote:
Sat Apr 14, 2018 3:05 pm
willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
What does the unemployment rate in the US tell us about the forward looking EM/international stock market performance?
Read the article I linked to above to find out. Incredibly, the UER in the U.S. has had a significantly bigger impact on EM stock, for instance, than their own economies.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

marcopolo
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Re: Meb Faber/Cambria/Trinity Funds

Post by marcopolo » Sat Apr 14, 2018 3:32 pm

willthrill81 wrote:
Sat Apr 14, 2018 3:24 pm
marcopolo wrote:
Sat Apr 14, 2018 3:05 pm
willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm
willthrill81 wrote:
Fri Apr 13, 2018 12:40 pm
I'm a trend follower, and I do like Mebane's podcast and his work. The specific strategy I use is noted here. With it, you are long on equities unless (1) the unemployment rate is above its 12 month moving average AND (2) equities are trading below the 200 day moving average (I use the 140 day moving average because it responds more quickly). The logic here is that when the UER is above its 12 month moving average, there is a strong likelihood of a recession, and when stock prices are also in a downward trend, there is an even stronger likelihood of a bear market around the corner.

This is very much biased toward a long position in equities but has historically avoided the biggest drawdowns and bear markets while significantly improving returns. Reducing downside risk is my primary goal here though.
Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
What does the unemployment rate in the US tell us about the forward looking EM/international stock market performance?
Read the article I linked to above to find out. Incredibly, the UER in the U.S. has had a significantly bigger impact on EM stock, for instance, than their own economies.
I wonder how well that will hold up as the EM develop their own economies and become less dependent on US imports for their revenues?
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Sat Apr 14, 2018 3:35 pm

marcopolo wrote:
Sat Apr 14, 2018 3:32 pm
willthrill81 wrote:
Sat Apr 14, 2018 3:24 pm
marcopolo wrote:
Sat Apr 14, 2018 3:05 pm
willthrill81 wrote:
Fri Apr 13, 2018 2:14 pm
hilink73 wrote:
Fri Apr 13, 2018 1:31 pm


Are you going out of all equities (read: intl, EM, too) when the signal shows up?
In an article you linked earlier from the same website they said that the US signal works for US equities, but Intl signals do not work for Intl equities, but US signals do.
Yes, I move completely out of all equities, including all international, when the above decision rules indicate to do so.
What does the unemployment rate in the US tell us about the forward looking EM/international stock market performance?
Read the article I linked to above to find out. Incredibly, the UER in the U.S. has had a significantly bigger impact on EM stock, for instance, than their own economies.
I wonder how well that will hold up as the EM develop their own economies and become less dependent on US imports for their revenues?
I don't know. I don't try to forecast the future. But to the extent that the future looks like the past, it will take a long time before that truly happens. The above statement has applied equally to developed European nations as well as EM. For better or worse, global stocks are largely impacted by the USA. Look at the 2008-2009 debacle.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Meb Faber/Cambria/Trinity Funds

Post by staythecourse » Sat Apr 14, 2018 3:44 pm

garlandwhizzer wrote:
Fri Apr 13, 2018 4:21 pm
I believe that Meb Faber is highly intelligent, very honest, very knowledgeable, and that his etfs are solidly built on existing backtesting research. The question is: does that reliably equate to improved returns for investors after costs going forward?
Garland Whizzer
Considering his greatest entry into fame was is his GTAA fund following his famed "Ivy Portfolio" crashed and burned AND was eliminated from existence I would say he is a failure. No offense to him, but most are. Guess what he will do when his trinity funds do poorly? He will make them disappear as well, come up with another snazzy name for his next lineup of funds, and peddle them to a new unsuspecting group of investors.

To think about it, I am not sure if you can say he is "honest" when you know the above and his website does not discuss this at all.

Good luck.
"The stock market [fluctuation], therefore, is noise. A giant distraction from the business of investing.” | -Jack Bogle

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Re: Meb Faber/Cambria/Trinity Funds

Post by lack_ey » Sat Apr 14, 2018 4:04 pm

When you evaluate a strategy known to be prone to underperform for years at a time on a scale of a few years, I don't really think the relative outcome can be considered reliably indicative of much of anything. The data is consistent with a wide range of performance levels. Based on fund results we can have a decently high confidence in an evaluation of "not demonstrably superior in every given year" but nobody was actually expecting that to begin with, were they? That's what was already clear in the backtest in the 2006 paper.

His recent paper does say
Though the timing system outperformed by a significant amount during the 2008–2009 bear market, it went on to underperform stocks six of the next eight years. Many investors who had implemented the timing model after the crash likely struggled with staying the course with a tactical approach.
I'm not really a fan of his work or approach here with GTAA or now GMOM but haven't studied all the details; regardless, many evaluations are a bit premature if anything. On this kind of timescale what I want to know is tracking error relative to what it wanted to accomplish and what the actual costs are. Some of the underlying ETFs are not particularly that liquid. Same for the Trinity allocations generally. The costs are mid-high and they're trading relatively small ETFs in addition to the larger names, many with not-the-most-liquid underlying securities.

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Sat Apr 14, 2018 5:22 pm

lack_ey wrote:
Sat Apr 14, 2018 4:04 pm
When you evaluate a strategy known to be prone to underperform for years at a time on a scale of a few years, I don't really think the relative outcome can be considered reliably indicative of much of anything. The data is consistent with a wide range of performance levels. Based on fund results we can have a decently high confidence in an evaluation of "not demonstrably superior in every given year" but nobody was actually expecting that to begin with, were they? That's what was already clear in the backtest in the 2006 paper.

His recent paper does say
Though the timing system outperformed by a significant amount during the 2008–2009 bear market, it went on to underperform stocks six of the next eight years. Many investors who had implemented the timing model after the crash likely struggled with staying the course with a tactical approach.
Precisely. There have been many historic periods where buy-and-hold would have trounced trend following and vice versa. The problem with either approach is for investors to stick with their chosen strategy, knowing that there are very likely to be times when your strategy lags the other.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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220volt
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Re: Meb Faber/Cambria/Trinity Funds

Post by 220volt » Sat Apr 14, 2018 5:45 pm

How old is Meb Faber? I have tried to find it everywhere with no success. I also listen to his podcast, and I don't know why but I tend to stick with an older crowd for meaningful long-term market advice. Meb sounds very young to me, in his mid 30's maybe.
"If I had only followed the advice of financial analysts in 2008, I'd have a million dollars today, provided I started with a hundred million dollars" - Jon Stewart

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Re: Meb Faber/Cambria/Trinity Funds

Post by whodidntante » Sat Apr 14, 2018 6:08 pm

220volt wrote:
Sat Apr 14, 2018 5:45 pm
How old is Meb Faber? I have tried to find it everywhere with no success. I also listen to his podcast, and I don't know why but I tend to stick with an older crowd for meaningful long-term market advice. Meb sounds very young to me, in his mid 30's maybe.
He's 40 +- 1 according to this.
http://www.investmentnews.com/section/4 ... /Meb-Faber

Paul Merriman is a strong advocate of the value factor and trend following strategies. He's 74 IIRC. Just curious, why would you only consider the advice of old people meaningful?

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Sat Apr 14, 2018 6:21 pm

whodidntante wrote:
Sat Apr 14, 2018 6:08 pm
220volt wrote:
Sat Apr 14, 2018 5:45 pm
How old is Meb Faber? I have tried to find it everywhere with no success. I also listen to his podcast, and I don't know why but I tend to stick with an older crowd for meaningful long-term market advice. Meb sounds very young to me, in his mid 30's maybe.
He's 40 +- 1 according to this.
http://www.investmentnews.com/section/4 ... /Meb-Faber

Paul Merriman is a strong advocate of the value factor and trend following strategies. He's 74 IIRC. Just curious, why would you only consider the advice of old people meaningful?
Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Meb Faber/Cambria/Trinity Funds

Post by sunnywindy » Sat Apr 14, 2018 7:47 pm

I wouldn't invest in anything Cambria [about 20% of me says it is a scam - 'scam' in the sense that they offer a product that nobody needs, and it's the kind of business where the owner gets to live & do what they want in life and the customers get reasonable returns without any drama].

I do think GVAL is sort of interesting, but I would rather just invest in an MSCI/FTSE Global All-Cap Value ETF for 20 bps and call it good.

Sometimes his podcast is entertaining, but I listen to it for his guests and not what he says - although I agree with many things that he says.
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Re: Meb Faber/Cambria/Trinity Funds

Post by 220volt » Sat Apr 14, 2018 10:22 pm

whodidntante wrote:
Sat Apr 14, 2018 6:08 pm
Just curious, why would you only consider the advice of old people meaningful?
Just for the sheer experience and having lived through thick and thin. I think there's more to investing than what you can learn just from books and academics. I'm 44 years old and I'm just having a hard time taking advice from people younger than me. Can't really put it in words, but that is how I feel.
"If I had only followed the advice of financial analysts in 2008, I'd have a million dollars today, provided I started with a hundred million dollars" - Jon Stewart

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Re: Meb Faber/Cambria/Trinity Funds

Post by 220volt » Sat Apr 14, 2018 10:25 pm

willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
"If I had only followed the advice of financial analysts in 2008, I'd have a million dollars today, provided I started with a hundred million dollars" - Jon Stewart

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Re: Meb Faber/Cambria/Trinity Funds

Post by snarlyjack » Sat Apr 14, 2018 11:02 pm

Hey 220volt,

Welcome to Bogleheads.

I' am a young guy & I think I' am a very good investor.
(I' am managing my $312,000. portfolio profitability).

I can also think of some other young people here at Bogleheads
that are very good investors.

We might argue among ourselves on the exact best way to do things
but a lot of these things are technical in manner. "When experts
disagree on the really small stuff it usually doesn't matter".

Their is a lot to learn at Bogleheads...sit back, learn & enjoy the ride.

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Re: Meb Faber/Cambria/Trinity Funds

Post by arcticpineapplecorp. » Sun Apr 15, 2018 8:52 pm

220volt wrote:
Sat Apr 14, 2018 10:25 pm
willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
I agree. Though I once heard him say he has 100% of his Roth IRA in Vanguard's emerging market index fund because it has the highest "expected" return. I suppose emerging market small cap value would have even higher "expected" returns. But maybe he can't get access to DFA for his Roth?
"Invest we must." -- Jack Bogle | “The purpose of investing is not to simply optimise returns and make yourself rich. The purpose is not to die poor.” -- William Bernstein

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Re: Meb Faber/Cambria/Trinity Funds

Post by fennewaldaj » Sun Apr 15, 2018 9:36 pm

arcticpineapplecorp. wrote:
Sun Apr 15, 2018 8:52 pm
220volt wrote:
Sat Apr 14, 2018 10:25 pm
willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
I agree. Though I once heard him say he has 100% of his Roth IRA in Vanguard's emerging market index fund because it has the highest "expected" return. I suppose emerging market small cap value would have even higher "expected" returns. But maybe he can't get access to DFA for his Roth?
Having listened to his podcast a while and read his book global asset allocation, I get the impression that he considers many different paths acceptable including globally diversified buy and hold boglehead style investing. It is hard to figure out how he actually invest his own money from the podcast..

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Sun Apr 15, 2018 9:41 pm

fennewaldaj wrote:
Sun Apr 15, 2018 9:36 pm
arcticpineapplecorp. wrote:
Sun Apr 15, 2018 8:52 pm
220volt wrote:
Sat Apr 14, 2018 10:25 pm
willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
I agree. Though I once heard him say he has 100% of his Roth IRA in Vanguard's emerging market index fund because it has the highest "expected" return. I suppose emerging market small cap value would have even higher "expected" returns. But maybe he can't get access to DFA for his Roth?
Having listened to his podcast a while and read his book global asset allocation, I get the impression that he considers many different paths acceptable including globally diversified buy and hold boglehead style investing. It is hard to figure out how he actually invest his own money from the podcast..
He has said repeatedly that he doesn't expect trend following to beat the absolute returns of buy-and-hold over the long-term. He believes that the hard part of buy-and-hold is the deep drawdowns from time to time and the hard part of trend following to be lagging the market during the good times; I concur.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Meb Faber/Cambria/Trinity Funds

Post by whodidntante » Sun Apr 15, 2018 10:50 pm

arcticpineapplecorp. wrote:
Sun Apr 15, 2018 8:52 pm
220volt wrote:
Sat Apr 14, 2018 10:25 pm
willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
I agree. Though I once heard him say he has 100% of his Roth IRA in Vanguard's emerging market index fund because it has the highest "expected" return. I suppose emerging market small cap value would have even higher "expected" returns. But maybe he can't get access to DFA for his Roth?
It was for the company 401k he setup. He wasn't able to access the investments he wanted for a reasonable cost so he elected 100% Vanguard Emerging Markets Index. My guess is is the 401k is relatively new and a small percentage of his assets, so 100% EM is probably a reasonable choice for him. You manage risk across a portfolio, not in a specific account. For example my Roth IRA is mostly EM equities. It's not an accident.

He has stated how he invests his money on the show, but that is probably only relevant for him, or those who want to hire him. He discusses strategies with a degree of intellectual curiosity. It is true that he doesn't tell you what you should do. He seems to be of the opinion that people are all over the map with their risk tolerance and investing style, and has expressed the opinion that a lot of things can work as long as you don't switch horses midstream.

I think that the show exists as a PR operation to build his brand, and because he genuinely enjoys doing it. The money he earns from it is indirect from increased brand value and direct from a little advertising revenue. I enjoy the show and I often listen while I'm exercising.

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Re: Meb Faber/Cambria/Trinity Funds

Post by Chuffly » Sun Apr 15, 2018 11:28 pm

fennewaldaj wrote:
Sun Apr 15, 2018 9:36 pm
arcticpineapplecorp. wrote:
Sun Apr 15, 2018 8:52 pm
220volt wrote:
Sat Apr 14, 2018 10:25 pm
willthrill81 wrote:
Sat Apr 14, 2018 6:21 pm

Larry Swedroe advocates small and value tilts and has now come onboard with trend following as well, which is mostly what Meb advocates.
That's the thing. I've been listening to Mab Faber's podcast for months and still have no idea what his actual strategy is. He seems to be all over the place with ideas and investments. Sort of king of all trades.
I agree. Though I once heard him say he has 100% of his Roth IRA in Vanguard's emerging market index fund because it has the highest "expected" return. I suppose emerging market small cap value would have even higher "expected" returns. But maybe he can't get access to DFA for his Roth?
Having listened to his podcast a while and read his book global asset allocation, I get the impression that he considers many different paths acceptable including globally diversified buy and hold boglehead style investing. It is hard to figure out how he actually invest his own money from the podcast..
I don't think it's that hard to figure out. He pretty much lays it out in the following paper:

http://www.cambriainvestments.com/wp-co ... _final.pdf

As a brief summary, the paper outlines a strategy that allocates as follows:
  • 50% - Buy and Hold (with Value and Momentum tilts)
  • 50% - Trendfollowing (with most being dual-momentum style - relative momentum with absolute momentum overlay).
The "Trinity Portfolio" he created through Betterment follows the basic philosophy from the paper but varies the allocation depending on which number (1 - 6) you select. He's said on the podcast several times that he is using one of these Trinity Portfolios right now. I'm too lazy to look it up right now, but I recall it being Trinity 3 or 4 (which ever one is pretty close to the allocation above).

He also mentioned on the podcast that the Vanguard EM ETF in his IRA was due to the lack of access to Cambria funds in that IRA. Otherwise, he'd be invested in his own funds.

All in all, I'm a fan of Meb, and he's influenced my investment style quite a bit (I'm probably much closer to a Meb-style investor than a true Boglehead). I have about 8% of my portfolio in GVAL, but otherwise haven't invested in any of the other Cambria funds. I find the EYLD ETF interesting, if for no other reason than the dearth of decent EM Value ETF's for us retail investors. So I could see myself starting to allocate some money to EYLD, but it needs to get a little popular to get those bid-ask spreads down ...

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Re: Meb Faber/Cambria/Trinity Funds

Post by whodidntante » Mon Apr 16, 2018 3:08 pm

Chuffly wrote:
Sun Apr 15, 2018 11:28 pm

I don't think it's that hard to figure out. He pretty much lays it out in the following paper:

http://www.cambriainvestments.com/wp-co ... _final.pdf

As a brief summary, the paper outlines a strategy that allocates as follows:
  • 50% - Buy and Hold (with Value and Momentum tilts)
  • 50% - Trendfollowing (with most being dual-momentum style - relative momentum with absolute momentum overlay).
Paul Merriman does something similar with his personal portfolio, except he overweights small and value and REITS. And the buy and hold portion is half bonds.

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Re: Meb Faber/Cambria/Trinity Funds

Post by nisiprius » Mon Apr 16, 2018 4:06 pm

fennewaldaj wrote:
Sun Apr 15, 2018 9:36 pm
...It is hard to figure out how he actually invest his own money from the podcast...
I can't find the archived copy in the archive.org Wayback Machine--"his" website seems to have morphed from mebanefaber.com to mebfaber.com to worldbeta.com... and he was involved in something called the "Ivy Portfolio" before he launched GTAA... anyway, in October 2010 he stated publicly that he had put more than 90% of his net worth into GTAA.

A random web page that turned up in a search shows this chart of the performance of the Ivy Portfolio. The green line is the Ivy Portfolio, the blue line is the S&P 500.

Image
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Re: Meb Faber/Cambria/Trinity Funds

Post by arcticpineapplecorp. » Mon Apr 16, 2018 4:53 pm

whodidntante wrote:
Mon Apr 16, 2018 3:08 pm
Chuffly wrote:
Sun Apr 15, 2018 11:28 pm

I don't think it's that hard to figure out. He pretty much lays it out in the following paper:

http://www.cambriainvestments.com/wp-co ... _final.pdf

As a brief summary, the paper outlines a strategy that allocates as follows:
  • 50% - Buy and Hold (with Value and Momentum tilts)
  • 50% - Trendfollowing (with most being dual-momentum style - relative momentum with absolute momentum overlay).
Paul Merriman does something similar with his personal portfolio, except he overweights small and value and REITS. And the buy and hold portion is half bonds.
Oddly enough Paul is a recent guest on Meb's podcast:

http://mebfaber.com/2018/04/11/episode- ... long-term/
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Re: Meb Faber/Cambria/Trinity Funds

Post by aristotelian » Mon Apr 16, 2018 5:29 pm

+1, I enjoy the podcast but do not invest in Cambria funds. He gets interesting people with a variety of perspectives, not just his own. He is open about trend following's underperformance although he attributes this to the natural tendency to lag bull markets, while expecting that he will outperform during bear markets. This seems plausible to me. I find the podcast to be very educational and right now it is the only podcast I listen to that is strictly focused on investing.

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Mon Apr 16, 2018 6:08 pm

arcticpineapplecorp. wrote:
Mon Apr 16, 2018 4:53 pm
whodidntante wrote:
Mon Apr 16, 2018 3:08 pm
Chuffly wrote:
Sun Apr 15, 2018 11:28 pm

I don't think it's that hard to figure out. He pretty much lays it out in the following paper:

http://www.cambriainvestments.com/wp-co ... _final.pdf

As a brief summary, the paper outlines a strategy that allocates as follows:
  • 50% - Buy and Hold (with Value and Momentum tilts)
  • 50% - Trendfollowing (with most being dual-momentum style - relative momentum with absolute momentum overlay).
Paul Merriman does something similar with his personal portfolio, except he overweights small and value and REITS. And the buy and hold portion is half bonds.
Oddly enough Paul is a recent guest on Meb's podcast:

http://mebfaber.com/2018/04/11/episode- ... long-term/
Intriguingly, Paul Merriman says that 99% of investors should use a buy-and-hold approach even though he uses a trend following approach with 50% of his portfolio and has for decades. He reports having experienced similar returns with trend following as buy-and-hold over this period but with lower drawdowns, so I'm really not sure why he still uses a buy-and-hold approach with any of his equities. I suppose that he's still afraid of lagging the market when the bulls are at work, as has been the case for the last nine years and counting.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Meb Faber/Cambria/Trinity Funds

Post by whodidntante » Mon Apr 16, 2018 8:46 pm

willthrill81 wrote:
Mon Apr 16, 2018 6:08 pm
Intriguingly, Paul Merriman says that 99% of investors should use a buy-and-hold approach even though he uses a trend following approach with 50% of his portfolio and has for decades. He reports having experienced similar returns with trend following as buy-and-hold over this period but with lower drawdowns, so I'm really not sure why he still uses a buy-and-hold approach with any of his equities. I suppose that he's still afraid of lagging the market when the bulls are at work, as has been the case for the last nine years and counting.
Paul Merriman no longer works as a financial advisor to individuals. I think buy and hold is a much simpler message and it is simple to do it, though it's not easy to watch your savings go down the drain in downturns. Trend following is a high conviction strategy meaning you have to dare to be different than the market and get returns different than your neighbor. And it's going to be hard for an average podcast listener to correctly implement it. I personally would not want to explain SMA200 and buy and sell signals and why it's important to be systematic instead of driven by feelings to perfect strangers, most of whom only notice a stock chart when it means they've lost money.

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Re: Meb Faber/Cambria/Trinity Funds

Post by willthrill81 » Mon Apr 16, 2018 8:50 pm

whodidntante wrote:
Mon Apr 16, 2018 8:46 pm
willthrill81 wrote:
Mon Apr 16, 2018 6:08 pm
Intriguingly, Paul Merriman says that 99% of investors should use a buy-and-hold approach even though he uses a trend following approach with 50% of his portfolio and has for decades. He reports having experienced similar returns with trend following as buy-and-hold over this period but with lower drawdowns, so I'm really not sure why he still uses a buy-and-hold approach with any of his equities. I suppose that he's still afraid of lagging the market when the bulls are at work, as has been the case for the last nine years and counting.
Paul Merriman no longer works as a financial advisor to individuals. I think buy and hold is a much simpler message and it is simple to do it, though it's not easy to watch your savings go down the drain in downturns. Trend following is a high conviction strategy meaning you have to dare to be different than the market and get returns different than your neighbor. And it's going to be hard for an average podcast listener to correctly implement it. I personally would not want to explain SMA200 and buy and sell signals and why it's important to be systematic instead of driven by feelings to perfect strangers, most of whom only notice a stock chart when it means they've lost money.
I can't argue with that logic. For the masses, target date funds are probably their best option, and never looking at their balances beyond perhaps once a year just to make sure everything is kosher is probably great for most.

Still, for Merriman himself, I'm still not sure why he's not personally all-in with trend following, especially since he isn't managing it himself.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Meb Faber/Cambria/Trinity Funds

Post by whodidntante » Mon Apr 16, 2018 9:39 pm

willthrill81 wrote:
Mon Apr 16, 2018 8:50 pm
whodidntante wrote:
Mon Apr 16, 2018 8:46 pm
willthrill81 wrote:
Mon Apr 16, 2018 6:08 pm
Intriguingly, Paul Merriman says that 99% of investors should use a buy-and-hold approach even though he uses a trend following approach with 50% of his portfolio and has for decades. He reports having experienced similar returns with trend following as buy-and-hold over this period but with lower drawdowns, so I'm really not sure why he still uses a buy-and-hold approach with any of his equities. I suppose that he's still afraid of lagging the market when the bulls are at work, as has been the case for the last nine years and counting.
Paul Merriman no longer works as a financial advisor to individuals. I think buy and hold is a much simpler message and it is simple to do it, though it's not easy to watch your savings go down the drain in downturns. Trend following is a high conviction strategy meaning you have to dare to be different than the market and get returns different than your neighbor. And it's going to be hard for an average podcast listener to correctly implement it. I personally would not want to explain SMA200 and buy and sell signals and why it's important to be systematic instead of driven by feelings to perfect strangers, most of whom only notice a stock chart when it means they've lost money.
I can't argue with that logic. For the masses, target date funds are probably their best option, and never looking at their balances beyond perhaps once a year just to make sure everything is kosher is probably great for most.

Still, for Merriman himself, I'm still not sure why he's not personally all-in with trend following, especially since he isn't managing it himself.
He went into detail about that in the interview with Meb Faber, towards the end when most people were sound asleep, lol. TL;DR: because he likes it that way. He didn't give great objective reasons but talked about why he likes his strategy.

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Re: Meb Faber/Cambria/Trinity Funds

Post by Gemini » Tue Apr 17, 2018 12:40 pm

Who is Merriman using? DFA?

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Re: Meb Faber/Cambria/Trinity Funds

Post by arcticpineapplecorp. » Tue Apr 17, 2018 4:29 pm

willthrill81 wrote:
Mon Apr 16, 2018 6:08 pm
He reports having experienced similar returns with trend following as buy-and-hold over this period but with lower drawdowns, so I'm really not sure why he still uses a buy-and-hold approach with any of his equities. I suppose that he's still afraid of lagging the market when the bulls are at work, as has been the case for the last nine years and counting.
On Merriman's own podcast, he's said many times that he likes to hedge. He does this in his split between U.S. and International (which I believe he's 50/50), in his stock/bond mix (which I believe he's 50/50) and his mix of buy and hold and what he calls market timing which he's also 50/50.

edit (4/18/18): just heard the podcast. Not only is he:
50/50 US/Int
50/50 stock/bond
50/50 buy and hold/market timing

He's also:
50/50 Large/Small
50/50 Value/Growth

Now there's a person who hedges his bets.
"Invest we must." -- Jack Bogle | “The purpose of investing is not to simply optimise returns and make yourself rich. The purpose is not to die poor.” -- William Bernstein

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