• The “Anti-VIX” ETN ZIV is designed to increase in value when the volatility of the S&P 500 decreases, as measured by the prices of VIX futures contracts.
• The model buys ZIV only during up-markets when the VIX > 17 and rising, otherwise during up-markets it buys either QLD or DDM, or IEF when upmarket conditions are absent.
• A backtest of the model from Jan-2011 to Jul-2017 produced a high 60% annualized return with a maximum drawdown of -16% with only 41realized trades.

• The “Anti-VIX” ETF SVXY is designed to increase in value when the volatility of the S&P 500 decreases, as measured by the prices of VIX futures contracts.
• Extended data of SVXY, the ProShares Short VIX Short-Term Futures ETF, from Jan-2006 to the fund’s inception date was calculated from its proxy, the S&P 500 VIX Short-Term Futures Index.
• SVXY is intended for short-term use. Using the extended price data, a buy-and-hold strategy of the hypothetical SVXY resulted in a huge loss of over 90% from 2007 to 2009.
• The model buys SVXY only during up-markets when the VIX > 17 and rising, otherwise during up-markets it buys either QLD or DDM, or IEF when upmarket conditions are absent.
• A backtest of the model from Jan-2007 to Jul-2017 produced a high 70% annualized return with a maximum drawdown of -27% with only 76 realized trades.

• The Vanguard Dividend Growth Fund-VDIGX is closed to new investors. Want-to-be investors can possibly do better than the fund by investing only in a few positions of the fund’s holdings.
• The iM-Best10(VDIGX)-Trader relies on the expertise of the Vanguard’s advisors to make the primary stock selection. VDIGX currently holds 45 large-cap stocks from which the Trader periodically picks its stocks.
• The Trader invests in the ten highest ranked stocks of VDIGX. This strategy, postulated in 2014, has produced to Jun-2017 a 3-year return of more than double that of VDIGX.
• The 3-year performance of the Trader was 64.1% versus 28.4% for VDIGX, giving an excess return of 35.7%. Trading frequency was low, with positions held on average for 126 days.

• Stocks usually perform poorly when inflation is on the rise. We developed a market timer according to two inflation rate based rules. A buy signal has now emerged.
• Switching according to the signals between the S&P500 with dividends and a money-market fund would have provided from Aug-1953 to end of Jan-2017 an annualized return of 12.69%.
• Over the same period buy-and-hold of the S&P500 with dividends showed an annualized return of 10.08%, producing about a quarter of the total return of the Timer model.
• The Enhanced Inflation Timer uses one additional criterion in the buy rule for stocks (and sell rule for bonds); high-beta stocks must perform better than low-beta stocks.

• This system invests in well capitalized companies with strong market positions, which pay good dividends, have price appreciation potential, and provide a degree of downside protection during bear markets.
• The portfolio holds six large-cap stocks selected from a universe of twenty Russell 1000 Index stocks with Capital Strength type characteristics, rebalanced quarterly in January, April, July and October.
• A backtest, from 7/6/2006 (inception of FTCS) to 5/31/2017, showed a 24.7% annualized return with a maximum drawdown of -25.7%, and low average annual turnover of about 80%.
• Over the same period the First Trust Capital Strength ETF (FTCS), which selects stocks from the NASDAQ Index, produced only 9.63% annualized return with a maximum drawdown of -53.6%.
• FTCS’s performance is not much better than that for SPY (the ETF tracking the S&P 500), which over this period returned 8.25% annualized, with a maximum drawdown of -55.2%.

Currently we have 12 different ETF models at iMarketSignals. The various models and their correlation between them are shown below.

(click to enlarge)
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