Subscribe Login

ETF Core Strategies

Aim: To trend-trade general equity ETFs so as to ride rallies and buck busts in the Australian share market.

ETF Rotation Strategies

Aim: To back the local and foreign sector ETFs with the strongest price gains over both short and long terms.

Our Performance

Remember, we are share trend followers. We don’t predict the market. To find out more about our approach to trend-trading Australian share and gold ETFs, click here .

 

Share Fund Strategies

Signals History

The charts below illustrate the change of signals under MarketTiming‘s Conservative Share Strategies since 1st July 2004. The signals apply to any exchange traded fund whose unit price moves broadly in line with the Australian All Ordinaries share index (such as the SPDR S&P/ASX 200 share fund designated by the ASX code STW).

The blue parts of the share index indicate when the strategy was on a ‘Buy‘ signal, and the red parts indicate when the strategy was on a ‘Sell‘ signal. These charts are updated half yearly. They are based on actual results since March 2009 and back-tested results before then. The following charts are updated every six months. 

Conservative Strategy Signals, 1 July 2004 to 31 Dec 2016

 

Evident are two different types of red or ‘Sell‘ sections on each chart: (i) exits from the market during major market declines, and (ii) exits during market falls that end up being reversed fairly quickly. The first type of ‘Sell‘ signal is where market timing strategies excel. On the other hand, the second type of ‘Sell‘ signal comes at a cost. In hindsight, this second type of ‘Sell‘ or exit signal is in the nature of a false signal. However, at the time, there was no way of knowing this so stepping out of the market at the time was necessary insurance against the possibility of a major market decline.

Performance Results

The charts below shows how MarketTiming’s Conservative share market trading strategy outperformed a buy and hold approach to shares, especially when the market crashed after November 2007. Each strategy assumes an initial investment of $10,000 in an exchange traded equity fund (whose prices move in tandem with the All Ords share index) on the 1st July 2004. No account is taken of dividends or tax, but brokerage of 0.12% is applied to each buy and sell transaction.

 

MarketTiming’s Conservative Share Strategy versus a Buy and Hold Strategy, 1 July 1984 to 31 December 2016

The following Signals Results Tables show the performance that could have been achieved by an investor using each of MarketTiming’s share strategies since 1 July 1984. No account is taken of dividends or tax, but brokerage of 0.12% has been applied to each buy and sell transaction.

Conservative Share Strategy Results, 1 July 1984 to 30 June 2016

Conservative Strategy  Market Timing 

Strategy 

Comparative Buy 

and Hold Strategy 

Average Annual Return (a) 8.7% 6.9%
Average Annual Risk (b) -6.9%

-16.6%

(a) As measured by the Compound Annual Growth Rate (CAGR), which shows the average annual rate of return on an initial investment. The higher this annual growth rate the greater the return achieved by the investment strategy.

(b) As measured by the Average % Drawdown. A drawdown is any retracement in an investment’s value from its preceding peak value. The lower the negative value the lesser the drawdown’s severity and the less stress experience by the investor.

More detailed Performance Reports of the back-tested results for each of our strategies can be viewed below:

These one-page reports are updated every six months.

Global and Local Rotation Strategies

Performance Results

MarketTiming’s ETF Rotation strategy commenced on the 1st July 2013 using a momentum model developed by David Vomund of Vomund Investment Management, USA.

The strategy was split into separate Global and Local Rotation strategies in late December 2014. The menu of ETFs was revised too as was the momentum model used for selecting the preferred ETF in each strategy.

This was done following exhaustive back-testing of what works best with Australian listed ETFs.

The back-tested performance results of MarketTiming Global and Local ETF Rotation strategies based on the December 2014 revised momentum model are shown below

$10,000 applied to the Global Rotation strategy on the 12th September 2008 (the earliest date for which the Global strategy ETF menu was available) would have increased by an average rate of 9.5% a year to $21,192 (before dividends and after brokerage of 0.12% per trade) by the 31st December 2016.

The same amount of capital invested the Local Rotation strategy on the 30th March 2012 (the earliest date for which the Local strategy ETF menu was available) would have grown by an average rate of 9.8% a year to $15,596 (before dividends and after brokerage of 0.12% per trade) by the 31st December 2016. 

The average number of signal changes a year would have been 3.0 for the Global Rotation strategy and 3.6 for the Local Rotation strategy. The maximum trade drawdown for the Global strategy would have been 8.7% and for the Local strategy 10.7%.

As with any trading or investment strategy, MarketTiming’s past performance (whether back-tested or actual) is not necessarily indicative of future performance.

Rotation Strategies – Performance of Global ETF Rotation Strategy*
(12 Sep 2008 to 31 Dec 2016)

 

 

 

 

 

 

 

 

 

 

*Chart based on back-tested results.

Rotation Strategies – Performance of Local ETF Rotation Strategy*
(30 Mar 2012 to 31 Dec 2016)

 

 

 

 

 

 

 

 

 

 

*Chart based on back-tested results.

Technical Notes

The following technical notes explain how the performance tables and charts were compiled.

  • The results are based on the ASX All Ordinaries Index, and assume that the Exchange Traded Fund (ETF) vehicle used while in the market precisely matches movements in this index. The buy and hold results assume investment is solely through such an ETF.
  • Back-tested data have been used to derive MarketTiming signals prior to December 2009, actual signals since then except for the Gold Strategy which commenced in January 2013 and the new Global and Local ETF Rotation Strategies which commenced in December 2014.
  • All performance results in tables and charts are calculated excluding both dividends received while in the market and interest received on cash balances when out of the market.
  • The market timing strategy results are calculated using the closing price the day following a new trading signal. They are after brokerage fees of 0.12% per trade.
  • All capital gains are assumed to be re-invested. No account is taken of capital gains taxation since the effective rate may vary from 0% to 22.5% on personal investment gains depending on personal income levels, 10% for gains within superannuation funds in accumulation mode and 0% for gains within superannuation funds in pension mode.  Clients should obtain their own tax advice.
  • The results shown are based upon data whose accuracy is deemed reliable but not guaranteed.
  • Performance returns cited are derived from our best estimates but must be considered hypothetical in as much as we do not track the actual prices investors pay or receive when applying our signals.
  • Finally, past performance is not necessarily indicative of future performance.

ETF Core Strategies

Aim: To trend-trade general equity ETFs so as to ride rallies and buck busts in the Australian share market.

ETF Rotation Strategies

Aim: To back the local and foreign sector ETFs with the strongest price gains over both short and long terms.

Copyright © 2014, Market Timing Pty Ltd. All rights reserved.
Website by Elevate 360