ETF Monthly Allocation Timing System
This page presents the historical trade table for the ETF Monthly Allocation Timing System.
The ETF Monthly Allocation Timing System Graph (versus buy and hold)
To see the most recent results and the current signal, click here.
ETF Monthly Allocation Timing System trades three ETFs – VXF, EFA and TLT. It reallocates in percentages between these three ETFs once per month. New positions (if any) are signaled on the second or third weekend of every month. The system takes the new positions at the close on the day after a new signal.
The system only reallocates once per month at most – some months there is no reallocation if the current position is adequate given the current market conditions.
How the System Works
The system uses an approach similar to the TSP Timing System and the TSP Timing System 4. The system is designed using the simple concept that it is likely that returns near the average historical returns will be achieved again in the future. Using the idea that the current returns will revert to the mean, each month the system examines the recent performance of the VXFand EFA Exchage Traded Funds. When either ETF is over performing compared to the historical averages, the system assumes that the performance will decline in the relatively near future and under weights that ETF.
If either ETF is under performing its historical average return, the system over weights the allocation to that ETF. An additional moving average rule is applied that forces the system to under weight both the VXF and EFA ETFs when the overall recent market activity is extremely negative. When there is excess risk in the VXF and EFA ETFs because of the rules described before, the system moves to the TLT ETF, although the ETF BND can be used as a less volatile substitute..
How to read the ETF Monthly Allocation Timing System Table
The ETF Monthly Allocation Timing System trade table shows the past history of the trades of the system and a box at the top that tells exactly what the system will do during the next trading day. We first posted this system on the web on July 12, 2009 We have followed the system in real-time since the beginning of May, 2009. Results before that date are back tested.
The first three numbers next to the “Date” in each row are the percentages that the system was in those Funds during those days.
The box at the top is the most important. It specifies what the system will do – when there is a new signal, it states what positions the system will take on the next trading day after the signal. So, if there is a new signal on a weekend, the system moves the the new position at the close of the next market day (usually Monday). If there is a new position, the box is highlighted in yellow. Results from the new position begin to accrue as of the day after the position is taken since positions are taken at the close.