Sunday, April 7, 2013

Switching to boost performance

I've one switching between Growth and Value every month. The following from a fellow blogger will be examined when I have time.

-----
Quarterly switching based on the performance in the prior quarter yields a CAGR of 12.95% during 2009-2012 based on S&P index data.

Quarterly 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.


Similar 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.

By 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.

No comments:

Post a Comment