Bad Timing

The Sharpe of a Meb-Faber-esque Timing model over the last 10+ years is 1.12.

Of course that doesn't tell the whole story.

You can see the wild swings.

So there it is. A timing model whose Sharpe fluctuates erratically.

A single number doesn't sum up the game of Russian roullette well. Almost half of the year's Sharpe ratios are far below one.

The kicker? The S&P has performed better over the last 10 years as a whole, not even excluding the fees!

Of course if you just stuck with the system looooong enough, you may just see higher returns overall.

But, as they say, in the long run we're all dead. And as we see here, you're unlikely to see anything convincing in the short term either.