Doug Fabian - the Mav
- pbradford6
- radiodude
- radiodude
- Kirk
- daryll40
- daryll40
- snaimon
- radiodude
- daryll40
- Kirk
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» pbradford6 - More BS
Moving averages redux?By Peter Brimelow, CBS.MarketWatch.com
Last Update: 9:17 AM ET March 25, 2004
NEW YORK (CBS.MW) -- The fifth down session for the stock market -- and a celebrated technical indicator has turned bearish.
HULBERT FINANCIAL DIGEST
The indicator: whether or not the market is trading above or below its long-run moving averages.
The problem: it might not work anymore.
On Monday night, the investment letter most associated with this indicator, Doug Fabian's Successful Investing, put out a general sell signal.
This may have had consequences. The following evening, the Todd Market Forecast, wrote dispiritedly:
"What a day. The Dow was up almost 70 points with an hour to go, but lost it toward the end. There is an advisor with a large following named Doug Fabian who gave a sell signal yesterday and told his fund switchers to get out at the close today so that may have provided just enough push to depress prices. Whatever the reason, it was pretty disappointing to see a very oversold market unable to hold for even a one day bounce."
Todd remains bullish. But the strain seems to be showing.
Fabian, however, was not proposing panic. "Historically, the market experiences a 10 percent or more correction over a 12-month period," he wrote. "Considering the run-up in 2003, I'm actually pleasantly surprised that the S&P 500 didn't falter earlier or to a larger degree."
But, Fabian added, repeating the classic rationale for the 39-week system developed with coruscating clarity by his father and predecessor editor Dick Fabian, the system "allowed us to bank our profits... and sidestep any leftover volatility and additional downside in the market."
There's nothing magic about 39 weeks. Dick Fabian used to say that a 52-week moving average system would be better, but that investors simply couldn't sit through the larger declines that a 52-week system would produce.
For a long time in the 1980s and 1990s, the Fabian letter was one of the top performers as measured by the Hulbert Financial Digest. And the moving average concept attracted support from finance academics.
Then it stopped working.
One of the finance academics, Blake LeBaron of Brandeis, found that the benchmark 150-day moving average system lagged a buy-and-hold by 2.3 percentage points on average in the 1990s, vs. outperforming by an astonishing 6.2 percentage point on average from 1897 to 1986.
Maybe it was a temporary glitch, something that happens with technical indicators. Or maybe it was structural shift, caused by better communications, personal computers, etc.
Understandably, Fabian has been fiddling with the classic 39-week moving average system, but not to any great effect. Over the period from June 30, 1980 through Feb. 29, 2004, Fabian's timing has produced a 12.6 percent annualized return, vs. 13.1 percent for buying and holding. Since Fabian has been 24 percent less risky, he beats a buy-and-hold on a risk-adjusted basis. But over the past 10 years, he has significantly lagged the market.
It may be that the simple 39-week system is making a comeback. Mark Hulbert has looked at the period from Jan. 1, 2003 through March 23, 2004. A buy-and-hold over this period, the assuming Wilshire 5000 as a benchmark for market, produced a 30.6 percent annualized return. The 39-week moving average system would have produced a 25.4 percent annualized return -- but with somewhat lower risk, as it would have been in cash about 20 percent of the time.
Fabian's actual timing advice, including his fiddling, produced only an 11.2 percent annualized return.
But if the long-run system is reasserting itself, look out below.
-- posted by pbradford6
» Kirk - Re: Re: Re: More and More Hosed!
.In response to message posted by radiodude:
No updates on his "millon" in about 3 months? I bet I know why. .
I wonder if he covered his 2x short when the Nasdaq peaked?
With this recent weakness, I'd have expected him to update his site as his results would be improving... unless he covered at the top! If true... ouch! Maybe someone can send him an email and ask? 
Running Tally:
08/03/03 $500,000
08/15/03 $480,840
09/12/03 $432,098
09/30/03 $468,000 ???
10/28/03 $375,000 down 25% & still short
10/31/03 $343,000
11/19/03 $435,400 down 12.92%
11/15/03 $349,131 down 30.2%
01/02/04 $300,000 down 40%; via gus_eson’s message
01/13/04 $241,295 down 51.7%, posted on web site!
01/23/04 $230,389 reported by stocksystm. Down 54%
01/30/04 $256,439 How to make a million: Doug starts with 2!
3 months without an update....
-- posted by Kirk
» Kirk - Re: Re: It's The End of May
In response to message posted by snaimon:
Seen on the site today in upper left corner: As of 5/31/04 $260,074
Thanks... I'll add it to the tally.
Running Tally:
08/03/03 $500,000
08/15/03 $480,840
09/12/03 $432,098
09/30/03 $468,000 ???
10/28/03 $375,000 down 25% & still short
10/31/03 $343,000
11/19/03 $435,400 down 12.92%
11/15/03 $349,131 down 30.2%
01/02/04 $300,000 down 40%; via gus_eson’s message
01/13/04 $241,295 down 51.7%, posted on web site!
01/23/04 $230,389 reported by stocksystm. Down 54%
01/30/04 $256,439 How to make a million: Doug starts with 2!
05/31/04 $260,075
<img src=http://dougsmillion.com/images/large_cha... width=500 height=400>
-- posted by Kirk
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