STYLES TRACK RECORD

Page Summary: Back-tested performance simulation of tactical asset allocation in Styles and Sectors

Reality Check
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Volatility_of style investing strategies in US$

Performance of Composite Trend Indicator

Understanding the Bar Chart - This chart the standard deviation of monthly returns for those investing strategies that have been back-tested together with a comparable global benchmark. For descriptions of these strategies see Composite Trend Indicator, Key Indicator, Momentum and Seasonal Pattern.

Understanding the Fan ChartThis chart shows the simulated performance performance of recommendations, where all markets are graded into Buy, Add, Reduce and Sell quartiles based on the Composite Trend Indicator. Thus, where the gradient is steeper the strategy is more successful and where the gradient flattens the strategy is less successful. The chart uses these features to maximise fairness: -

  • To eliminate bias in favour of low yielding high beta growth markets, the data is for total returns.

  • To eliminate upside bias in the extended bull market, performance is shown relative to a global average.

  • To eliminate any bias for smaller markets as a whole to perform differently, this global average is unweighted.

  • To equalise percentage changes at all levels, the vertical axis uses logarithmic scales.

  • To facilitate comparisons across asset classes, the vertical scale is the same for each RouteMap.

 

 Please read the explanatory notes and qualifications
Please read the explanatory notes and qualifications

Results assume that investors have the courage to act on their convictions decisively

Statistical Notes
Sample: 14,800 Observations

Coverage: 9 Styles and Sectors in 6 Regions
Distribution: 7 Buy + 18 Add  + 7 Reduce + 7 Sell = 49 Total
Benchmark: PIT World Stock Market Price Inde
x
* Definition: Figures represent all long and short positions combined

  Explanations Average Performance Signals
Buy Hold Sell per Year
  Local Currency
  Key Indicator 16.2% 9.7% 3.2% 1.6
  Momentum 15.1% 9.7% 3.7% 1.8
  Seasons 21.4% 9.7% 1.0% 2.0
  Composite * 18.7% 9.7% -1.5% 2.2
  US Dollar
  Key Indicator 15.0% 9.7% 5.2% 1.8
  Momentum 14.7% 9.7% 3.9% 1.9
  Seasons 21.4% 9.7% 1.0% 2.0
  Composite * 17.9% 9.7% -1.3% 2.2
  Relative to World
  Key Indicator 4.1% 0.0% -0.1% 1.7
  Momentum 3.4% 0.0% 0.9% 2.4
  Seasons 5.9% 0.0% -1.8% 2.0
  Composite * 5.2% 0.0% -1.6% 3.1
  Relative to Region
  Key Indicator 6.6% 0.0% -3.0% 1.7
  Momentum 5.2% 0.0% -3.1% 1.9
  Seasons 8.4% 0.0% -3.8% 2.0
  Composite * 8.4% 0.0% -5.5% 2.3

Explanation of Columns

  • Local Currency - Performance in different local currencies for each market. Relevant for domestic investors.
  • US Dollar - Performance in a common currency, the US Dollar. Relevant for international investors.
  • Relative to World - Performance compared to a market weighted global sector index. Relevant for fund managers.
  • Relative to Region - Performance compared to a market weighted regional index. Relevant for fund managers.
  • Key Indicator - Fundamental strategy based on actual data showing effect of a key economic variable.
  • Momentum - Chart technical strategy combining momentum, rate of change and overbought / oversold indicators.
  • Seasons - Strategy based on buying and selling each market at the end of the same month every year
  • Composite - Strategy of combining Liquidity, Momentum and Seasonal strategies by majority decision

Explanation of Rows

  • Buy - Average annualised capital gains and income before expenses for all positively rated markets *
  • Hold - Average annualised performance for a comparable market weighted global benchmark index
  • Sell - Average annualised capital gains and income before expenses for all negatively rated markets *
  • Signals per Year - Average number of changes each year in each market, e.g. 2..0 means Buy and Sell once a year

* The tabular analysis is based on rating all markets either as Buy or Sell at all times, where meaningful data is available, with no markets rated as Hold. Thus Buy in the table represents the combined performance of Buy and Add model portfolios shown in the chart above, and conversely for Sell recommendations.