I've one switching between Growth and Value every month. The following from a fellow blogger will be examined when I have time.
switching based on the performance in the prior quarter yields a CAGR
of 12.95% during 2009-2012 based on S&P index data.
switching based on the performance in the immediately prior month
yields a CAGR of 22.48% during 2009-2012 based on S&P index data.
improvement occurs with the actual ETFs - SPLV and SPHB. (The 2012
return is doubled if you use the prior month's performance rather than
the prior quarter's.)
The best performance is obtained if you
switch monthly, and include TLT in the mix: over 31% with the S&P
index data (2009-2012) as well as with the actual ETFs during 2012-2013.
the way if you just want double the S&P 500 returns, you do not
need to do this much work. For example, an yearly rebalanced equal
weight portfolio of MIN, MMT, and BKT returned much higher than double
the S&P 500, with risk of only 15% during 1991-2013.