The iM Gold-Timer timer endeavors to signal long-term investment periods for Gold. It uses the SPDR® Gold Shares ETF: GLD. When not invested in GLD the model goes to 100% cash.
Blog Archives
iM-Best10 Shorts from the Russell 3000
- This model selects periodically up to 10 stocks of the Russell 3000 index to sell short.
- Stocks having a market-cap less than $800-million and those having a 10-week average daily total amount traded of less than $6,000,000 are not sold short.
- Simulated performance over a 16 year backtest period shows an annualized return of 18.8% with a maximum drawdown of -48%.
iM-Combo5; Combining 5 ETF Models for Good Returns and Low Drawdowns
- This combination model aims to provide good returns with low drawdowns during all market conditions.
- For the period 2000 to 2016 the backtested annualized return is 24.0% with maximum drawdown of -10.5%.
- There are five equal weight component models in Combo5.
Model Revision: Combo3.R1 Replaces Combo3
- Due to inconsistencies in SPEPCY (SP500 Current Year EPS Estimate) data at the beginning of the calendar year we have amended Combo3.
- Going forward we will not replicate the signals from the P123 subscription models anymore as the P123 models can only be revised every six months. We have set up new component models for Combo3.R! which incorporate rule changes.
Market Timing with Vanguard’s Market Neutral Fund VMNFX
- 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.
The Best(SPY-SH) model has been revised.
Portfolio123 data changes can affect more recent model performance. We monitor our models to see whether there are any negative effects from data revisions.
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Death Cross of Trailing 12-Month Income Signals An Overdue Market Decline
- A warning of a major stock market decline from the death cross of the Trailing Twelve Months Income Available to Common Stocks (TTMIACS) of the S&P500
- The TTMIACS of the S&P500 has historically provided a good indication of market tops.
- TTMIACS has been declining since Feb-2015 when its 10-week moving average crossed its 40-week moving average to the downside.
- Exiting the stock market according to this indicator would have avoided major losses in 2001 and 2008.
Getting the Most from the iM-Best(SPY-IEF) Market Timer
The iM-Best(SPY-IEF) MarketTimer incorporates three market timing models which provide signals which indicate the percentage of funds to allocate to stock market investment in 25% increments, from 0% to 100%, also referred to as signal strength.
Alternatively, instead of allocating a percentage of funds to stocks and bonds, one can be fully invested in stocks or bond funds according to the signal strength, as shown in the tables below.
Trading the Beer-, Spirits-, Tobacco-, & Gambling-Stocks of the S&P500 With the iM-BESTOGA-3 System
- Holding continuously the so called “Vice” stocks of the S&P500 would have been very profitable; it would have provided an average annualized return of about 20% from Jan-2000 to Oct-2015.
- The iM-BESTOGA-3, named after the first few letters of: beer, spirits, tobacco, and gambling, holds three stocks from the GICS sub-industries: Distillers & Vintners, Brewers, Tobacco, and Casinos & Gaming.
- Backtesting the model from Jan-2000 to Oct-2015 produced a simulated annualized return of about 24.3% with a maximum drawdown of only -18%, and low annual turnover of about 130%.
The S&P 500 Death Cross – Time to Panic?
- At the end of August 2015 the 50-day moving average of the S&P500 crossed its 200-day moving average to the downside – the 33rd occurrence of a “Death Cross” since 1950.
- The performance of the S&P500 was investigated for periods ranging from one year before to two years after a Death Cross.
- During the last 65 years there were ten recessions. A Death Cross preceded six recessions and occurred early in four recessions.
- After a Death Cross the probability of S&P500 being lower than for any other point in time increases for periods from one- to eighteen months.
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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