Author Topic: Buy GVAL Cambria Global Value ETF?  (Read 10284 times)

stahleyp

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #10 on: January 26, 2015, 12:40:03 PM »
Just a short term update:

Since inception both are negative...(per morningstar price):

GVAL -22.16%
EFA -8.74%

Ouch.
Paul


JRH

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #11 on: February 04, 2015, 07:04:10 AM »
Just a short term update:

Since inception both are negative...(per morningstar price):

GVAL -22.16%
EFA -8.74%

Ouch.

Meb posted an update on his blog at the beginning of the year that explains (not excuses) this:

http://mebfaber.com/2015/01/01/how-did-cape-do-in-2014/

If you look at his backtesting of the strategy, 2014 was a pretty strong outlier in terms of underperformance of the strategy. Like many quantitative strategies that appear to outperform over long periods of time, it appears the outperformance is relatively clustered by year - you might go three or five years where the strategy doesn't outperform, then one or two or three years where it does tremendously.
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blainehodder

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #12 on: February 04, 2015, 07:41:55 AM »
Attached is the historical record from the book. 2014 appears to be a terrible year for the strategy.  However, I have faith in the strategy with a longer term horizon and have made this a 30% position.
« Last Edit: February 04, 2015, 08:13:18 AM by blainehodder »

JRH

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #13 on: February 04, 2015, 08:26:17 AM »
Attached is the historical record from the book. 2014 appears to be a terrible year for the strategy.  However, I have faith in the strategy with a longer term horizon and have made this a 30% position.


It looks like 2014 would be the year with the worst underperformance, followed by 2009. Interestingly, it looks like it has underperformed seven of the last nine years (if you include 2014). Either the strategy is breaking/broken, or it is has a hell of a streak of outperformance ahead of it in order to revert to the longer-term mean.
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blainehodder

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #14 on: February 04, 2015, 09:22:16 AM »
This is an interesting way to frame it:

http://mebfaber.com/2014/03/06/cape-valuation-bollinger-bands/

The cheapest quartile is very cheap (note this chart is before the cheapest CAPEs got cheaper). This may or may not imply a reversion to outperformance, but it is interesting.

stahleyp

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Re: Buy GVAL Cambria Global Value ETF?
« Reply #15 on: October 09, 2017, 02:08:24 PM »
After 3.5 years this one is finally...almost catching up to EFA but still trailing VXUS.
Paul