- 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%.
Blog Archives
iM-Best10 Shorts from the Russell 3000
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.
Too Many To Fail — It Is Time To Bailout The Oil Industry!
- The energy sector is in a recession — the energy industry has filed negative earnings for four consecutive quarters.
- Negative earnings and Debt-to-EBITDA (earnings before interest, taxes, depreciation and amortization) ratio at historic highs, and no respite in sight.
- The US government should not let this strategic industry fail and arrange a bailout program.
- According to our analysis the energy ETFs (XLE, VDE, XOP, etc) and energy stocks remain strong sells.
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.
Questioning the Best(SPY-SH) and Best(SSO-TLT) Signals.
Followers of Best(SPY-SH), Best(SSO-TLT), Combo3 and Combo3b please read this.
How Much More Will The Market Decline? The Trailing 12-Month Income Available Could Provide An Answer.
- The Trailing Twelve Months Income Available to Common Stocks (TTMIACS) of the S&P500 is tightly correlated to the S&P 500.
- 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.
- According to this indicator, a downwards potential remains in the S&P 500 with a possible low of 1660 in the next three months.
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.
Is the Stock Market Overvalued? — Update Dec-2015 — Estimating Returns to 2020 and Beyond
- 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 4 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.
Evaluating Actively Managed Stock Funds With iM’s Terminal Value Rating System
- This rating system identifies funds which may provide better returns than a benchmark index-fund by measuring fund performance from the perspective of savers who make regular monthly contributions to funds.
- It compares the terminal value from periodic $1.00 monthly contributions to a fund with the terminal value from the same contributions to a benchmark index-fund over the same time period.
- Specifically, the system calculates 1-year and 5-year rolling terminal values from $1.00 monthly contributions to the fund and the benchmark index-fund.
- Predictive information comes from the relationship between the fund and the benchmark rolling terminal values, allowing an estimate of future fund performance relative to the benchmark index-fund.
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.
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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