I get lots of emails asking me to update my various models, and we will likely do so in the new year. Doug Short, one of my favorite and most prolific blogs, has a nice piece here that demonstrates the real time (hypothetical) performance of the timing model we published in 2006. He uses the great site ETFReplay and conducts the test with publicly traded ETFs. ETFReplay has some really nice tools to test quant strategies with ETFs (now if they just added index data back to the 1970s….I know you guys are reading this ahem)…
The numbers are in the ballpark of what I would expect. Great chart below, click to enlarge:
