Abstract

http://ssrn.com/abstract=1923387
 


 



Learning to Love Investment Bubbles: What if Sir Isaac Newton had been a Trendfollower?


Mebane T. Faber


Cambria Investment Management

September 6, 2011

Cambria – Quantitative Research, Issue 4, September 2011

Abstract:     
Investment manias and financial bubbles have likely existed for as long as humans have been involved in financial markets. In this research piece we take a look at some of the more famous market bubbles in history and the extreme volatility and drawdowns they experienced. We then examine a simple trendfollowing approach investors could use to manage their risk. Across twelve market bubbles we find that a trendfollowing system would have improved return while reducing volatility. Most importantly, it would have reduced drawdowns significantly leading to the most important rule in all of investing – surviving to invest another day.

Number of Pages in PDF File: 11

Keywords: South Sea, Tulipmania, Mississippi, investing, bubbles, bonds, currencies, commodities

JEL Classification: A10

Accepted Paper Series


Download This Paper

Date posted: September 7, 2011  

Suggested Citation

Faber, Mebane T., Learning to Love Investment Bubbles: What if Sir Isaac Newton had been a Trendfollower? (September 6, 2011). Cambria – Quantitative Research, Issue 4, September 2011. Available at SSRN: http://ssrn.com/abstract=1923387

Contact Information

Mebane T. Faber (Contact Author)
Cambria Investment Management ( email )
2321 Rosecrans Ave
Suite 4270
El Segundo, CA 90245
United States
HOME PAGE: http://www.cambriainvestments.com
Feedback to SSRN


Paper statistics
Abstract Views: 17,615
Downloads: 7,355
Download Rank: 317

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.406 seconds