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Andrew,
Thank you. Great article. Very interesting results. I agree with
your conclusion about using excel. You may have seen my zig zag
drawdown question. This part of the analysis I was hoping I could
do in MS and export it to excel. Does anyone know of a software
package that can be purchased to produce the results that were
presented in the Faber paper?
Jeff
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew.tomlinson@xxx> wrote:
>
> This type of analysis is hard to do within Metastock because you
need to be
> using total return data - you're better off in Excel. This is
particularly
> the case if you're looking at risk as well as return. An
interesting recent
> approach on this with a TA spin is Meb Faber's Paper "A
Quantitative
> Approach to Tactical Asset Allocation" . Journal of Wealth
Management,
> Spring 2007
> http://trendfollowing.com/whitepaper/CMT-Simple.pdf
>
> Andrew
>
> ________________________________
>
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of jwlcfp
> Sent: Tuesday, October 23, 2007 12:10 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Historical daily index data
>
>
>
> Hi Group,
> I am trying to do some asset allocation studies. I have been
searching
> for historical index data. I am trying to get as much data going
> through a variety of market, economic scearios.... Daily data would
> be fantastic, weekly would great, monthly would be ok.
>
> I have daily data on the Value Line index going back to 1969 and
S&P
> 500 going back to 1950. I have monthly data on the S&P 500 going
back
> to 1926. I would love to obtain any data on markets outside the US
> and sectors (materials, industrials, large value......)
>
> For bonds, I have a lot data on yields through the US Federal
Reserve
> site, but not price data. Right now my best alternative is using
> Vanguard's bond mutual fund data. These funds closely track their
> respective indexed, unfortunately the data goes back to the mid-
> 1980's. In the US, there was high inflation in the 1970's and early
> 1980's. this time period killed the "conservative/balanced
portfolio"
> of 60% stocks/40%bonds. So much for buy & hold...or "buy & pray."
>
> Any help would be greatly appreciated. I am also willing to share
> what I have.
> Jeff
>
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