http://www.marketwatch.com/story/maybe-the-best-market-timing-system-ever-2011-07-12 I would find this really amusing if it actually works. Of course, it’s probably not so efficient for personal portfolios, given that you will have to pay short term capital gains tax.
Would take it with a pinch of salt in the first place - maybe vested interests at play. Nothwithstanding that, I wonder what the size and length of the maximum draw down is, all it says is this: ‘Though it has had some hiccups in recent years, the system shows no signs of losing its touch. Over the last decade, for example, it is ahead of a buy-and-hold by 0.1 percentage point per year, on an annualized basis.’ And obviously marketing numbers (for example the 10yr period quoted here), are just that, marketing. What I would need to be comfortable with this are the full monthly returns to create a set of statistics to analyse (should have 30 years of data), a greater explanation of seasonal investing (personally I think this has merit) and some idea of the AUM of this strategy and whether this system has been strictly adhered to or has there been manual intervention (i’m looking at you 2008). Strangely, the author of the article doesn’t quote the funds’ actual annualised return but uses a self-built proxy. Why would you do that? Raises my suspicions. Lastly, there are quite a few trend following systems that would give this a run for the money - i’m not sure how many the HFD follow it only alludes to tracking160 financial newsletters at the end. There are 1000’s of competitors and some do have the long history to match, albeit using other methodologies & signals.