Im looking for an academic study or white paper that would be a modification of market timing / asset allocation similar to: Faber and there are several papers since then modifying this asset allocation strategy to improve it.
My idea was basically the same as these (switching to cash or bonds based on the 10 period monthly SMA) but reentering a long position at different thresholds of drawdown on SPY. For example, enter long 10-20% of your funds for every 10% in draw down. Unless the markets have drawdown greater than 100% this seems like it would work better than buy and hold and better than the traditional asset allocation model as it gets you back in to the market sooner to catch the reversals. You sacrifice risk though and more DD than the traditional models of staying in bonds or cash.
Thanks
Submitted April 15, 2017 at 04:48PM by Pennysboat http://ift.tt/2pnB4Et
