Blog Archives

The iM-Minimum Drawdown Combo

In our continued effort to satisfy request for low drawdowns models with reasonable turnover and good returns we provide this model, which combines:

The combo showed a simulated 22.2% annualized return with a maximum drawdown of -7.7% when backtested from Jan-2000 to Apr-2017.

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Estimating Market Direction and Long-Term Returns with a 35-Year Moving Average of Robert Shiller’s P/E10

  • The long-term mean of the Shiller Cyclically Adjusted Price to Earnings Ratio P/E10 incorporates time-inconsistent data, causing substantial underprediction of realized stock returns in recent decades.
  • Better prediction of market direction and returns can be achieved by using a 35-year moving-average of P/E10, instead of its long-term mean.
  • Stocks seem only overvalued after P/E10 becomes greater than its 35-year moving average plus 7.5 added to it, with major market declines starting one to five years thereafter.
  • An analysis shows that whenever P/E10 rose from below to above its 35-year moving average significant ten-year gains for stocks followed.
  • Both the historic market trend, and the current level of the Shiller CAPE P/E10, suggest probable real market gains of about 20% to 28% to the end of 2020.

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iM Vanguard/TIAA-CREF Systems

To view latest asset allocation tables requires membership category: Bronze or higher.

System1a uses Vanguard’s Total Bond Market Index Fund and Total Stock Market Index Fund in combination, echoing the broad based Index approach. Best for the investors that do not want to give too much attention to their investments.

(click to enlarge)
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Home Page Template Test


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PMP Holdings TEST

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iM-Best Gold Timer

Using the Portfolio123 platform the iM-Best Gold Timer  (click for more details) was backtested from Jan-2-2000, as this was the first full year when the algorithm had access to all the required economic indicators from the database of the web-based simulation platform where the backtest was performed.
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Site Notices

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Test Post

The iM-Best(SPY-SH) model currently holds SPY, so far held for a period of 98 days, and showing 4.14% return to 10/14/2013

A starting capital of $100,000 at inception on 1/2/2009 would have grown to $359,106 which includes $132 cash and excludes $9,032 spent on fees and slippage.

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Best SPY-SH Tables

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With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
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