Georg Vrba | iMarketSignals

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Vanguard Funds With Dynamic Asset Allocation: Three iM-Vanguard Systems

Posted on Mar 14, 2015 by Georg Vrba — 2 Comments ↓

iM-Vanguard Systems use a combination of Vanguard bond- and stock-funds, and switch assets according to stock-market climate.
Backtests show that models using index funds produce better returns when a dynamic asset allocation strategy is employed (System1) than buy-and-hold.
Higher returns can be obtained from actively managed Vanguard funds with dynamic asset allocation (System2 and System3). System3 uses only two stock funds and one intermediate-term bond fund.

The dynamic asset allocation strategy requires that during up-market periods more money is allocated to stock funds than bond funds, and during down-market periods more money is allocated to bond funds than stock funds.
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Tagged with: Vanguard
Posted in blogs, featured, Vanguard/TIAA CREF Blogs

iM-Best(SPY-IEF) Market Timer: A Combination of Three Market Timing Models

Posted on Feb 26, 2015 by Georg Vrba — 87 Comments ↓

Stock market timing models usually provide discreet signals indicating whether to be in or out of the market.
A better approach with potentially less risk is to stage investments over time when entering or exiting the market.
Three market timing models with low correlation to each other are used in combination to provide staged signals, indicating stock market investment in 25% increments from 0% to 100%.

Tagged with: IM-System, SPY-IEF
Posted in blogs, featured

US Treasury Bonds: When Will the Panic Buying End?

Posted on Feb 5, 2015 by Georg Vrba — 9 Comments ↓

Currently the yield of 30-year US Treasury Bonds is at its lowest level ever.
The bond-market rally which began at the beginning of 2014 is near its end.
Some upside for long Treasury bonds is still possible, but not much.

Tagged with: Bonds
Posted in blogs, featured

The Unemployment Rate is Not Signaling a Recession: Update January 9, 2015

Posted on Jan 9, 2015 by Georg Vrba — No Comments ↓

A reliable source for recession forecasting is the unemployment rate, which can provide signals for the beginnings and ends of recessions. The unemployment rate model (article link), updated with the December figure of 5.6%, does not signal a recession now.
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Posted in blogs, Publish, UER

Is the Stock Market Overvalued? Estimating Returns to 2020 and Beyond

Posted on Jan 2, 2015 by Georg Vrba — No Comments ↓

Based on its historic trend, the stock market appears to be marginally overvalued.
The historic trend suggests a probable real gain of about 20% over the next five years.
Analysts’ long-term forecasts of stock returns made 3 years ago appear to have been unrealistically low.
The Shiller Cyclically Adjusted Price to Earnings Ratio is relatively high (but not extremely high), and a market correction is possible.

Tagged with: 2020
Posted in 2020, blogs, featured

Best8(S&P500 Min-Volatility) Large-Cap Portfolio Management System With S&P 500 Minimum Volatility Stocks

Posted on Jan 2, 2015 by Georg Vrba — 8 Comments ↓

This model trades in highly liquid large-cap stocks selected from those considered to be minimum volatility stocks of the S&P 500 Index. It produced a simulated survivorship bias free average annual return of about 36% from Jan-2000 to end of Dec-2014.

Minimum volatility stocks should provide exposure to the stock market with potentially less risk, seeking to benefit from what is known as the low-volatility anomaly. Consequently, they should show reduced losses during declining markets, but should also show lower gains during rising markets. However, our backtests show that better returns than the broader market can be obtained under all market conditions by selecting 8 of the highest ranked stocks of a universe made up from minimum volatility stocks of the S&P 500.

Tagged with: Best8(SP500 Min Vol), R2G
Posted in blogs, featured

Minimum Volatility Stocks: Out-Of-Sample Performance of iM’s Best12(USMV) Buy&Hold Models

Posted on Dec 16, 2014 by Georg Vrba — 8 Comments ↓

The backtest reported in this article showed that ranking the holdings of USMV, the iShares MSCI USA Minimum Volatility ETF, and selecting a portfolio of the 12 top ranked stocks, provided higher returns for the buy&hold portfolio than for the underlying ETF. To test these findings out-of-sample we launched the Best12(USMV)-July-2014on Jun-30-2014 and the first sister model Best12(USMV)-Oct-2014 on Sep-29-2014. Holdings and performance have been published weekly on our website since then. So far to Dec-15-2014 these portfolios have gained 19.2% (6.8%) and 10.5% (5.3%), respectively. (USMV gains are in brackets.) The test will be expanded by the launch on Jan-5-2015 of the second of the three sister models quarterly displaced, the Best12(USMV)-Jan-2015, which again will consist of the 12 highest ranked stocks of the then point-in-time holdings of USMV.
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Tagged with: Best12(USMV), IM-System
Posted in 2020-add, blogs, featured, Publish, USMV

Revisiting “Backtesting the MAC-System – How Long is Long Enough?”

Posted on Dec 12, 2014 by Georg Vrba — 2 Comments ↓

We have shown that higher retirement savings are possible with our iM(MAC-Vang) and iM(MAC-CREF) models that dynamically adjust bond/stock asset allocation using Vanguard or TIAA-CREF Funds respectively. We make use of the MAC-system to determine the allocation switch points depending on market trends. The backtest of the MAC-system stretches back almost 65 years. We are also proponents that market models should have a minimum number of variables to avoid over-optimization and possible future model breakdown. The MAC-system is such a minimized system and its robustness has been confirmed by an independent party.
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Tagged with: MAC
Posted in blogs

Trading the Dividend Growth Stocks of the Vanguard Dividend Growth Fund: Simulated Performance of iM’s Best10(VDIGX)

Posted on Dec 11, 2014 by Georg Vrba — 42 Comments ↓

Ranking the holdings of the Vanguard Dividend Growth Fund VDIGX and selecting a portfolio of the highest ten ranked stocks provided much higher returns for the portfolio than for the underlying fund. A simulation over the time period (6/30/14 to 12/8/14) which selects periodically the 10 highest ranked stocks shows a 15.3% return while VDIGX gained 7.0%.

Tagged with: Best10(VDIGX), IM-System
Posted in blogs

Getting the Most from TIAA-CREF’s Variable Annuity Accounts

Posted on Oct 24, 2014 by Georg Vrba — 6 Comments ↓

A previous study found that a dynamic asset allocation strategy with Vanguard index funds produced better returns than models with static asset allocations. Changing asset allocation according to stock-market climate produced much higher returns with less risk. TIAA-CREF’s variable annuity accounts can similarly be used to improve returns for participants. Results for three models with dynamic asset allocation are provided whose performance and risk measurements are all better than those of the variable annuity accounts alone, or static combinations of those accounts.
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Tagged with: TIAA-CREF
Posted in blogs, featured, Publish, Vanguard/TIAA CREF Blogs