Blog Archives

The iM-Low Frequency Timer

  • Over the last 20 years this Timer provided only two exit periods for the stock market.
  • By being out of the stock market during those periods one would have avoided most of the two bear markets and losses of 35% and 43%, respectively.

Posted in blogs, featured, Publish

Improvement Update to the iM-Best12(USMV)-Trader: Trading the Stocks of the iShares Minimum Volatility ETF – USMV

  • The iM-Best12(USMV)-Trader periodically invests in the 12 highest ranked stocks of USMV which currently holds 208 large-cap stocks.
  • This strategy, postulated in 2014, has produced from the end of Jun-2014 to end of Feb-2018 an annualized return of 16.1% versus 11.9% for USMV, and 11.5% for SPY.
  • We have now changed the trading rules and ranking system which we believe will provide improved returns with low turnover in the future.

In this 2014 article we showed that better returns than those from the ETF could be obtained by applying a ranking system to the stock holding of USMV (the universe), and investing periodically only in the 12 highest ranked stocks, bought and sold according to certain rules.
Read more >

Posted in blogs, featured, Publish

Improvement Update to the iM-Best10(VDIGX)-Trader: Trading the Stocks of the Vanguard Dividend Growth Fund – VDIGX

  • The iM-Best10(VDIGX)-Trader periodically invests in the ten highest ranked stocks of VDIGX which currently holds 45 large-cap stocks.
  • This strategy, postulated in 2014, has produced from end of Jun-2014 to end of Feb-2018 an annualized return of 17.7% versus 9.9% for VDIGX, and 11.5% for SPY.
  • We have now changed the trading rules and ranking system which we believe will provide improved returns with low turnover in the future.

Posted in blogs, featured, Publish

Beating Vanguard’s Large-Cap ETFs with a Tax Efficient Capital Strength Portfolio of the Russell 1000

  • 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 is quarterly rebalanced and reconstituted, and consists of six large-cap stocks with Capital Strength type characteristics from the Russell 1000 Index, typically held for at least one year.
  • A backtest, from Jan-2000 to end of Jun-2017, showed a 17.7% annualized return with a maximum drawdown of -23.3% and a low average annual turnover of about 70%.
  • A comparison with Vanguard’s large-cap ETFs older than 10 years shows that for all listed investment periods the Portfolio would have produced higher returns than any of the five ETFs.

Posted in blogs, featured, Publish

The iM-Standard 5 ETF Trader (Excludes Leveraged ETFs)

  • This system always holds five ETFs (equity-, fixed income-, short equity-, and Gold-ETFs) selected according to stock market climate and rank.
  • Typically, during good-equity markets it holds equity-ETFs, and during bad-markets fixed income-ETFs and/or short equity-ETFs. Also at times it can hold three gold-ETFs with other ETFs.
  • A one factor ranking system selects five ETFs from a preselected list of 29 ETFs. A simulation from 2000 to 2017 shows a 24% annualized return with a maximum drawdown of -12%.

Posted in blogs, featured, Publish

The iM-5 ETF Trader

  • This system always holds five ETFs (equity-, fixed income-, leveraged equity-, short equity-, and Gold-ETFs) selected according to stock market climate and rank.
  • Typically, during good-equity markets it holds equity-ETFs and/or leveraged-equity ETFs, and during bad-markets fixed income-ETFs and/or short equity-ETFs. Also at times it can hold three gold-ETFs with other ETFs.
  • A one factor ranking system selects five ETFs from a preselected list of 33 ETFs. A simulation from 2000 to 2017 shows a 35% annualized return with a maximum drawdown of -13%.

Posted in blogs, featured, Publish

The Unemployment Rate is Not Signaling a Recession: Update March 10, 2017

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 February figure of 4.7%, does not signal a recession now.
Read more >

Posted in Publish, UER

Updated: Timing the Stock Market with the Inflation Rate

  • Stocks usually perform poorly when inflation is on the rise. Using the inflation rate, we developed a market timer according to two simple rules.
  • Switching according to the Timer signals between the S&P500 with dividends and a money-market fund would have provided from Aug-1953 to end of Jan-2016 and 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.

Posted in blogs, featured, Publish

The MAC-US Timer – a Moving Average Crossover System of the S&P 500

  • Switching between stocks and bonds as signaled by a simple moving average crossover system of the S&P 500 – the MAC-US Timer – produces significantly higher returns than buy-and-hold stocks.
  • The model has been updated from Aug-1965 to Jan-2017, conservatively assuming that funds are placed in the money market when not in the stock market.

Posted in blogs, featured, Publish

The Unemployment Rate is Not Signaling a Recession: Update February 3, 2017

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 January figure of 4.8%, does not signal a recession now.
Read more >

Posted in Publish, UER
With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
By the mere act of reading this page and navigating this site you acknowledge, agree to, and abide by the Terms of Use / Disclaimer