Results are below for 2008, frictionless (no fees or trading costs are deducted), and monthly and yearly rebalances. The model is out-of-sample since 2006. I will be doing an update to the white paper by the end of the month, so stay tuned!
S&P 500: -36.77%
TIMING: 1.33%
EAFE: -43.06%
TIMING: -8.17%
10 YEAR: 21.51%
TIMING: 21.51%
GSCI: -46.49%
TIMING: 1.08%
REITs: -37.33%
TIMING: -9.67%
Monthly Rebalance, equal-weighted:
B&H: -29.76%
TIMING: 1.59%
Yearly Rebalance, equal-weighted:
B&H: -28.43%
TIMING: 1.22%
That’s 36 profitable years in a row for the timing model (just barely thanks to bonds ripping in November and December!).
Click on table to enlarge:
