Posted on

Simple System US Markets back to 1870


So here is the same system but this time on US markets back to 1870. Data courtesy of Robert Shiller, Yale University.

Shiller Data

The three possible investments:

  1. Stock market data (S&P 500) is from Shiller and is dividend adjusted. CAGR 8.98%
  2. Bond data is the 10 year US government yield made into an index (by myself) from Mr Shiller’s data. CAGR 4.71%
  3. Treasuries are represented by an index constructed (by myself) from the  treasury yield culled from NBER and the Federal Reserve. CAGR 3.97%

I have NOT used inflation adjusted data.

NBER

FRED

To recap, the system reallocates each month based on a 12 month look back momentum. The “binary” system invests in a single series: the top performer each month out of the three possible investments. The 50/50 system invests in the top two out of the three equally weighted at the beginning of the month. Use different lookbacks and you will get different and sometimes much worse results in terms of drawdown – by way of example the first two charts which represent the “binary” system but using a 1 month instead of a 12 month look back.

Binary System 1 Month Lookback

usbinary1mstats

Binary System 1 Month Lookback

usbinary1monthlookback

Binary System 12 month Lookback

usbinaryvami

Binary System 12 month Lookback

usbinarystats

Binary System 12 month Lookback

usbinarydd

50 50 System 12 month lookback

us5050vami

 

50 50 System 12 month lookback

us5050stats

50 50 System 12 month lookback

us505012monthDD

 

3 thoughts on “Simple System US Markets back to 1870

  1. Hi Anthony,

    Would be nice to have stats for a way of comparision with a standard 60/40 Buy and Hold (reballanced monthly to keep allocations).

    Thanks,
    Sorin

    1. Agreed- I will get that done.

  2. […] ← Simple System US Markets back to 1870 […]

Leave a Reply