Maynard F. Speer wrote:I posted Asness' article earlier, which makes the distinction between 'binary' market timing (all in or all out), and systematic approaches to adjusting equity exposure (in this case it's simply using the previous 12 month's return to determine where to be, between 50 and 150% equities - as a way to meaningfully measure performance against a 100% equities benchmark)
http://www.institutionalinvestor.com/ar ... kYaD1WrTC0
Personally I prefer to think in terms of risk vs opportunity .. Bogle didn't exit the market in 1999 (when stock valuations were very high, and bonds were very cheap), but rather shifted exposure from something with a lot of risk and less potential upside, to something with less risk and a fairly attractive return .. So you could say there was some opportunity risk, but as it turned out there was also a lot of downside risk
If only we had such an attractive alternative today .. I've mentioned my own defection to hedge funds
If you look at that chart, they had one big success in the 30s, and then basically mirrored buy and hold for the next 80 years... And is that back-tested data or actual real-time results? Anyone can go back and find a trend timing system that will beat buy and hold in the past.