February | 2016 | iMarketSignals

The Vanguard Market Neutral Fund Investor Shares (VMNFX) aims to “neutralize”, or limit the effect of stock market movement on returns.
We calculate 26-week rolling returns for VMNFX and for benchmark SPY (the ETF tracking the S&P500), which provide a measure of over- or under performance of VMNFX relative to SPY.
Predictive information comes from the relationship between the fund and the benchmark rolling returns. If VMNFX performs better than the stock market then one should be out of the market.
Conversely, if VMNFX under performs SPY then it should be relatively safe to be invested in stocks.
Our analysis generated a sell signal for the stock market on Nov-2-2015.