Comments on: Combining Rotation and Timing Systems

By: KS

KS — Tue, 05 Jan 2010 15:38:53 +0000

Have you considered testing the same system but applying into to sectors within US stocks? Perhaps using GICS or Russell Sectors. I expect that it would further outperform as you not be in poor performing sectors even while the overall market might be going up.

By: RTB

RTB — Mon, 30 Nov 2009 00:03:49 +0000

Enjoyed your book. In it you describe the “top 3″ (momentum) portfolio. What is the “Top 3 Hedged”? Thanks.

By: Mark Childs

Mark Childs — Mon, 19 Oct 2009 18:14:43 +0000

I bought your book and found it very interesting. However, I found the explanation of the Rotation System just a bit thinner that I would have liked. I would like to see an example of exactly how your calculate the 3/6/12 return average. Is there somewhere I can get that level of detail. Also, if you use the rotation system with the five etfs mentioned in your book that cover the broad asset classes, do you simply put all your money into the top 1, 2, or 3 performing etfs based on the calculation at the end of each month? Or am I missing something? Do you a place where you update the rotation system each month like you do for the timing system?

By: evandavid

evandavid — Thu, 27 Aug 2009 17:42:13 +0000

I have a comment/question about your answer to question 2. Let's assume you use the rotation and classes of assets in ivey league portfolio and use the top 3 assets. Assume a $100,000 account. Let's say I put a 1/2 in VTI,VEU and VNQ. If I then appy the timing model if any of these 3 assets class. Do I go to cash on each asset that goes below its 200 day moving arage. So for example if VTI dropped below its 200 day moving average would I just go to cash that month and then wait for the next month and buy. If the other two assets are above their 200 moving day average do I hold. In sum, confused about whether I move each asset class(of 3 that I hold) when breaks 200 day average. If I move to cash do I redploy to asset class above 200 moving day average or wait one month and then by best performing asset of the two I don't own if it is above its 200 day moving average. Finally, do you recomend 2 or 3 asset classes when using rotation with timing model. Thanks. Evan

By: Gerry

Gerry — Wed, 29 Jul 2009 20:32:45 +0000

Can you explain what you mean by 'hedged' in the post on combined timing and rotation models. I can't tell is it means to sell out of all positions when below the 200 sma for an index, or something else.

By: Mike

Mike — Fri, 03 Jul 2009 18:31:06 +0000

For this test, it appears to be the former–sell the holdings and go to cash when the S&P breaches the 10 month sma. I see no mention of going short.

By: What is hedged?

What is hedged? — Fri, 03 Jul 2009 14:57:48 +0000

What is Top1 Hedged? Is it sell the holdings and go cash when S&P 500 below 200 SMA? or go short?

Thanks

By: Mike

Mike — Thu, 02 Jul 2009 19:31:51 +0000

sree–Mebane has a post on that subject dated February 5th. Do a search for Asset Class Rotation. That was the original idea as I understand it.

By: sree

sree — Thu, 02 Jul 2009 13:08:25 +0000

I don't understand why you can't do it along all five asset classes. Among the five asset claases that you use, lets take the strongest one. If it is above its X moving average you invest in it. Otherwise you remain in cash. Have you backtested this?

By: Mike

Mike — Wed, 01 Jul 2009 18:02:54 +0000

RG–I believe what Mebane does is average the returns for each fund for three periods, i.e., 3/6/12 months. That would give you one number for each fund, or 5 numbers for the 5 funds that you're considering. Pick the top one (or top three funds, if you perfer.) Repeat monthly.

My impression is that some folks have modified his system to their own specs. Read back through the comments on previous, related posts.