I will use Georg Vrba’s recession model to compare timing versus Buy & Hold for the S&P500, low & high beta and value investing:
The buy/sell dates are taken from the COMP-IBH model (above).
Beta series: Falkenstein
Value series: French data library
Results (1970 – 2012) CAGR:
- The timing model increases returns in all cases, although marginally for low beta.
- Return on cash during time out of the market is not included therefore timing results are a conservative estimate.
- Small value is the clear out-performer, both for timing and Buy & Hold. $1 returns almost $1000 over 42 years (30% of that time in cash).
|COMP-IBH||Buy & hold|