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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

The Unemployment Rate: A Coincident Recession Indicator

Posted on Oct 3, 2014 by Georg Vrba — 1 Comment ↓

For what is considered to be a lagging indicator of the economy, the unemployment rate provides surprisingly good signals for the beginnings and ends of recessions. We have developed a model that uses unemployment figures to produce these signals and to determine the probability of when a recession may start. We conclude, based on the historic evidence of our unemployment-derived indicators, that there will be no recession in the near future.

Posted in blogs, featured

Minimum Volatility Stocks: iM’s Best12(USMV)-Trader

Posted on Sep 25, 2014 by Georg Vrba — 22 Comments ↓

Since end of June 2014 we provided updates of our Best12(USMV) at iM, a tax efficient model which holds positions normally for at least one year. Concurrently we were testing the Best12(USMV)-Trader model. The only difference between the two models is that the Trader is not restricted to hold stocks for a 1-year minimum period and has an additional sell rule based on rank. We backtested the Trader for various periods and found its returns to be to be marginally higher than that of the tax efficient Best12(USMV) model. However, returns were more consistent.

Tagged with: Best12(USMV), IM-System
Posted in 2020-add, blogs, featured, USMV

Minimum Volatility Stocks: Out-Of-Sample Performance of iM-Best12(USMV)

Posted on Sep 23, 2014 by Georg Vrba — 4 Comments ↓

Three months ago we introduced the iM-Best12(USMV) model, which still holds the then twelve best ranked stocks selected from the holdings of USMV, the iShares MSCI USA Minimum Volatility ETF. So far this portfolio has gained 8.2%, while USMV is up a mere 2.2%, confirming the results of the backtest performed over a relative short period. The out-of-sample test will be expanded by the launch of the second of three sister models quarterly displaced, the Best12(USMV)-Oct-2014, which again will consist of the 12 highest ranked stocks of the then point-in-time holdings of USMV.

Tagged with: Best12(USMV), IM-System
Posted in blogs, featured, USMV

Vanguard Funds With Dynamic Asset Allocation: Which is the Asset Allocation “that’s right for your situation”?

Posted on Sep 11, 2014 by Georg Vrba — 5 Comments ↓

Performance and risk measures are given for six iM(MAC-Vang) models with various asset allocations which use a combination of Vanguard bond- and stock-funds, and switch assets according to stock-market climate.

Tagged with: Vanguard
Posted in blogs, featured, Vanguard/TIAA CREF Blogs

Vanguard’s Actively Managed Funds With Dynamic Asset Allocation: The Best Bet For High Returns

Posted on Sep 3, 2014 by Georg Vrba — 9 Comments ↓

In continuation of our previous article “How Good are Vanguard’s LifeStrategy Funds? Much Better Returns From Vanguard Funds with iM’s (MAC-Vang)20/80” we show that exceptionally high returns can be obtained from Vanguard funds, when a dynamic asset allocation strategy is employed, and actively managed funds instead of index funds are used. Using a combination of bond-, stock-, and sector-funds in the model, and switching asset allocation according to stock-market climate, provided an annualized average return of over 15% for the backtest period Jan-2000 to Jul-2014.

Tagged with: Vanguard
Posted in blogs, featured, Publish, Vanguard/TIAA CREF Blogs