• January 30, 2011 2:00 PM

We know to allocate our capital between dissimilar assets (for example, stocks and bonds) to obtain the benefits of diversification. The next step beyond asset allocation is tactical asset allocation, which just means shifting the mix back and forth depending on the configuration of the market. That is, add an element of timing. And that is the subject of our meeting.

You will not find a more important subject and treatment. We will have the main talk by Mebane Faber at 3 pm. Prior to that talk, at 2 pm we will have a separate technical talk and demonstration of using the R software environment to model Tactical Asset Allocation in a Portfolio of Stocks and Bonds (or other assets). People are welcome to arrive at 3 pm for Mr. Faber’s talk, or earlier at 2 pm for both topics.

MEBANE T. FABER, is the portfolio manager at Cambria Investment Management where he manages equity and global tactical asset allocation portfolios. He is a frequent speaker and writer on investment strategies and has been featured in Barron’s, The New York Times, and The New Yorker. Mebane Faber is also the co-founder of AlphaClone, an investing research website.

www.mebanefaber.com/2010/02/05/quant-approach-to-taa-updated-for-2009/ .

In it, he discusses a moving average crossover system which achieves good returns while substantially reducing the volatility ordinarily seen in equity portfolios. Some of us have been experimenting with testing such a system, so we are especially delighted to hear from Mebane Faber himself.

www.mebanefaber.com/2011/01/13/upcoming-travel/

Agenda:

1:30 p.m. Early arrivers can chat while we set up

2:00 p.m. Talk and demo by Don Brady illustrating the use of R to model Tactical Asset Allocation

3:00 p.m. Main Talk: Mebane Faber on Tactical Asset Allocation

4:30 p.m. Close of formal meeting

4:45 p.m. (Optional) Dave W. will be organizing a post-meeting get together at Village Draft House

Mebane Faber’s talk at 3 pm will appeal to a broad range of interests.

The 2 pm talk will appeal to those interested in modeling trading systems in a programming language. It will include an introduction to R and developing in R with Eclipse using the StatET plugin.

R provides an extremely strong environment for modeling trading systems. It offers rich statistical capabilities and is becoming the academic standard in that field. For trading models, packages including xts, quantmod, TTR (technical trading rules), blotter, and PerformanceAnalytics offer unrivaled capabilities.

blog.fosstrading.com/2009/11/tactical-asset-allocation-using-blotter.html .

Note: Non-members are welcome to attend without needing to join the group, but if convenient you might email me at dbrady at pobox.com (please replace the at by @ sign) to let me know you are coming so that we have a rough estimate of how many people will show up. Also if you have not RSVP’d then you will need to check here for any updates before leaving for the meeting on the day of the event (not that any are at all likely).