This post is a brief update of the SPY-UI indicators I reviewed in this post and this one. Refer back to both those posts for details on the two indicators I presented. Turns out we’re in the midst of a real time test of both of these indicators. As a quick reminder the basic SPY-UI indicator attempts to time the…
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Relative momentum vs timing in the GTAA AGG portfolios
In today’s post I want to take a quick look at the role of timing in the GTAA AGG portfolios. What impact does timing have on the performance statistics of the AGG3 and AGG6 portfolios versus not using timing at all in the portfolios. The results will surely surprise some. The dominant impact to the performance of the AGG portfolios is…
A comprehensive look at market timing
In this post I’ll summarize a recent and very comprehensive study on market timing. It is probably the most comprehensive and robust look at market timing yet. Market timing is one of the biggest potential problems and complaints with TAA portfolios as I highlighted recently. Everyone wants a definitive answer – does it work or doesn’t it? As you might…
IVY timing model extensions – weightings & momentum
Today I’ll cover a few other extensions to the IVY timing model beyond those I covered in my last post. The source of these extensions is the same, Mebane Faber’s IVY update outlining these approaches. The extensions I’ll cover are varying the weighting of the asset class mix and taking advantage of momentum in the asset classes to increase performance.…
IVY Timing Model Extensions – more asset classes
In my last post I updated the official numbers for the IVY timing model. The original version of the model consists of a diversified portfolio of 5 asset classes. In the research paper Mebane Faber also looks at several extension to the 5 asset class timing model that improve returns over the basic model. Here I discuss the first extension,…
IVY Timing Portfolio – Official Update Through 2012
Mebane Faber, the creator of the IVY timing portfolio, has recently released an official update of the model with returns through the end of 2012. He also did a series of posts on his blog that chops up the update into more digestible pieces. For an intro to this topic please see my first post on the portfolio here. In…
January 2012 income investor dashboard & timing model update
Here are the updates for the income investor dashboard and the IVY timing model for the end of January 2012. The income investor dashboard for January 2012 is below. First a few changes for the dashboard from last year. Most importantly I am only listing investable products in the dashboard. No more indexes like AMZ – instead I replaced it with the…
Does timing high yield ETFs work?
In past posts I’ve discussed how a timing system, based on ETFs, works to lower risk, preserve capital, and at worst match long term market returns. This system use commonly available ETFs such as VTI, SPY, IEF, etc… Also, in the past I’ve loosed into whether timing high dividend stocks works in the same manner. I’ve found that the same…
Market timing portfolio 5 year performance (2007-2011)
In this post I want to take a look at the 5 year performance of the IVY market timing portfolio that I’ve discussed on the blog several times before (here and here or search the blog for ‘timing‘). For investors that are not inclined to pick investments for themselves, and in particular for retirees of that ilk, this is the…
Timing model – end sept update
The end of the third quarter was down right ugly. The end of Sept timing model sell signals proved out pretty well this month, preserving an investor’s capital. Lets look at the month end results to the timing model. For background on the model see here. The timing model status as of the end of Sept are: The new signal…
Timing model – end of August update
Just a quick update on my last post on the 200-day moving average timing model. At the end of August the model was signaling the following. See here for more details. Based on the 200-day moving averages (10-month) the model was indicating that investors go to cash for US stocks (VTI), foreign stocks (VEU), and real estate (VNQ). Historically, September…