Stock Market Timing Study

The following stock market timing study focuses on how well market timing newsletters did getting into and out of equities between early 2000 and January 2016. This latter date was chosen because that’s when the Hulbert Financial Digest was closed by its then publisher, Dow Jones. The start date was chosen because it was the top of the Internet bubble, right before its bursting. The ensuing 16 years also included the 2007-2009 bear market, the worst since the Great Depression. This period therefore was tailor-made to showcase the value of market timing; if the stock market had instead gone straight up it would have been unreasonable to expect market timers to do any better.

The returns in the table below reflect the performances of hypothetical portfolios that could alternate between just two investments: U.S. equities (as represented by the Wilshire 5000 Total Return Index) and cash (as represented by 90-day Treasury bills). These returns therefore ignore how good, or bad, a job a newsletter may have done picking individual securities. Transactions were allowed just once a day, at the close. Neither commissions nor taxes was debited.

Notice from the table below that, for some newsletters and timing strategies, two different track records are reported: One on the assumption that a portfolio goes short upon a sell signal, and the other on the assumption that the portfolio goes to cash. These dual records are presented because some investors are uncomfortable with going short.

In addition to reporting the annualized gain of these hypothetical timing-only portfolios, the table also shows the maximum peak-to-trough loss of each strategy. This is a crucial statistic, since one of the benefits claimed for market timing is a reduction in the bear market risk.

Note that, since the Hulbert Financial Digest was closed in January 2016, we have continued to calculate newsletters’ track records, though under a different business model than before. We now charge a flat fee to newsletters to have their returns audited, and we publish their current track records on our website, free of charge to the public. Those scoreboards are available here.

We also publish a number of sentiment indices in the stock, gold and bond markets. Information about those indices, including how to subscribe, is available here.

Market Timing Study

Newsletter	Timing system	2000-2016 Annualized % gain	2000-2016 Max peak-to-trough loss (%)
The Dines Letter	Stock timing only: Short-term model--shorting allowed	0.23	-48.97
The Dines Letter	Stock timing only: Short-term model--cash on sell signals	2.89	-31.65
The Elliott Wave Financial Forecast	Stock timing only: Traders--shorting allowed on sell signals	-5.40	-70.38
The Elliott Wave Financial Forecast	Stock timing only: Investors--cash on sell signals	1.72	-3.41
InvesTech Research Portfolio Strategy	Stock timing only: Recommended equity allocation	4.95	-31.90
Doug Fabian's Successful ETF Investing	Stock timing only: Domestic Fund Composite	1.24	-27.10
The Value Line Investment Survey	Stock timing only: Recommended equity allocation	3.38	-41.09
Cabot Growth Investor	Stock timing only: Cabot Growth Investor--Cabot's Model Portfolio	3.39	-31.43
Medical Technology Stock Letter	Stock timing only: Model Portfolio	3.65	-49.17
The Chartist	Stock timing only: Actual Cash Account	3.38	-22.62
The Dines Letter	Stock timing only: Nearer-Term Trading Portfolio	2.58	-50.96
The Prudent Speculator	Stock timing only: The TPS portfolio	1.85	-67.47
Bob Brinker's Marketimer	Stock timing only: Aggressive Growth Mutual Fund Portfolio	7.09	-50.96
Moneyletter	Stock timing only: Venturesome Portfolio	3.61	-43.32
The No-Load Fund Investor	Stock timing only: Master Wealth Builder Portfolio	4.85	-48.95
The Chartist	Stock timing only: Traders Portfolio	6.32	-44.12
The Dines Letter	Stock timing only: Intermediate-term model--shorting allowed	1.40	-53.95
The Dines Letter	Stock timing only: Intermediate-term model--cash on sells	3.60	-28.69
Timer Digest	Stock timing only: "Top 10 Consensus''--cash on sells	6.70	-26.11
Timer Digest	Stock timing only: "Top 10 Consensus''--shorting allowed	7.10	-43.81
BI Research	Stock timing only: Recommended equity allocation	3.75	-44.03
Moneyletter	Stock timing only: Conservative Portfolio	4.12	-42.20
Moneyletter	Stock timing only: Moderate Portfolio	4.32	-40.97
The Outlook	Stock timing only: Recommended equity allocation	2.06	-50.96
Crawford Perspectives	Stock timing only: Stock timing model--cash on sell signals	-1.21	-38.54
Crawford Perspectives	Stock timing only: Stock timing model--shorting allowed	-11.35	-88.30
Dow Theory Forecasts	Stock timing only: Recommended equity exposure	3.74	-40.10
No-Load Mutual Fund Selections & Timing Newsletter	Stock timing only: Intermediate term model--shorting allowed	-1.57	-38.35
No-Load Mutual Fund Selections & Timing Newsletter	Stock timing only: Intermediate term model--cash on sells	-0.15	-30.48
No-Load Mutual Fund Selections & Timing Newsletter	Stock timing only: Long Term model--shorting allowed	-1.06	-41.44
No-Load Mutual Fund Selections & Timing Newsletter	Stock timing only: Long Term model--cash on sell signals	1.26	-29.10
No-Load Mutual Fund Selections & Timing Newsletter	Stock timing only: Growth Portfolio	3.90	-18.32
The Blue Chip Investor	Stock timing only: The Quality Growth Account	4.83	-49.69
Richard E. Band's Profitable Investing	Stock timing only: Total Return-Portfolio	4.00	-42.35
Mutual Funds Magazine	Stock timing only: Seasonality Timing System	4.33	-35.20
National Trendlines	Stock timing only: Recommended mutual fund allocation	0.09	-24.77
Todd Market Forecast	Stock timing only: Intermediate Term System	-1.37	-63.87
U.S. Investment Report	Stock timing only: Conservative Growth Portfolio	-0.03	-44.76
U.S. Investment Report	Stock timing only: Growth Leaders Portfolio	1.24	-32.10
Independent Adviser for Vanguard Investors	Stock timing only: Growth Portfolio	4.10	-50.97
Vickers Weekly Insider Report	Stock timing only: Insiders Portfolio	3.22	-47.94
Vickers Weekly Insider Report	Stock timing only: Risk Portfolio	3.22	-48.08
All Star Investor	Stock timing only: ETF Sector Rotation	1.28	-41.66
The Chartist Mutual Fund/ETF Letter	Stock timing only: Actual Cash Account	4.00	-37.05
The Peter Dag Portfolio Strategy & Mgmt	Stock timing only: Fidelity No-Load Portfolio	2.51	-49.05
National Trendlines	Stock timing only: OEX Traders--cash on sell signals	0.20	-13.85
National Trendlines	Stock timing only: OEX Traders--shorting allowed on sells	-8.27	-83.38
Moneyletter	Stock timing only: Conservative Fidelity Portfolio	4.29	-42.24
Moneyletter	Stock timing only: Conservative Vanguard Portfolio	4.16	-42.15
Moneyletter	Stock timing only: Moderate Fidelity Portfolio	4.34	-41.74
Moneyletter	Stock timing only: Moderate Vanguard Portfolio	4.26	-42.33
Moneyletter	Stock timing only: Venturesome Fidelity Portfolio	3.72	-43.96
Moneyletter	Stock timing only: Venturesome Vanguard Portfolio	3.68	-44.06
Independent Adviser for Vanguard Investors	Stock timing only: Growth Index Portfolio	4.10	-50.96
U.S. Investment Report	Stock timing only: Emerging Growth Portfolio	0.73	-36.05
Value Line Inv. Survey Small & Mid-Cap Ed	Stock timing only: Recommended equity allocation	3.35	-41.14
The Outlook	Stock timing only: S&P's Platinum Portfolio	2.04	-50.96
Fidelity Investor	Stock timing only: Growth Portfolio	4.04	-47.73
Fidelity Investor	Stock timing only: Income Portfolio	4.37	-41.87
Fidelity Investor	Stock timing only: Growth & Income Portfolio	3.93	-46.33
Dow Theory Forecasts	Stock timing only: Interpretation of Dow Theory	1.49	-60.43
The Blue Chip Investor	Stock timing only: Stock timing signals--short allowed	7.07	-50.96
The Blue Chip Investor	Stock timing only: Stock timing signals--cash on sells	5.99	-50.96
Currin Technology	Stock timing only: Portfolio A	4.28	-49.11
Currin Technology	Stock timing only: Portfolio B	4.05	-50.10
Bob Carlson's Retirement Watch	Stock timing only: Sector Portfolio (Managed)	4.57	-48.46
Bob Carlson's Retirement Watch	Stock timing only: Balanced Portfolio (Managed)	4.50	-48.46
Fidelity Sector Investor	Stock timing only: Fidelity Sector Investor Portfolio	4.33	-49.53
Nate's Notes	Stock timing only: Model Portfolio	3.25	-45.47
Nate's Notes	Stock timing only: Aggressive Portfolio	1.84	-71.82
Fidelity Investor	Stock timing only: Aggressive Growth Portfolio	4.30	-47.81
Mechanical Strategy	Stock timing only: Sell in May and Go Away/aka Halloween Indic.	5.23	-29.99
Timer Digest	Stock timing only: "Top Long Term Timers''--cash on sells	5.47	-27.24
Timer Digest	Stock timing only: "Top Long Term Timers''--short on sells	4.46	-38.93

Newsletter Timing system 2000-2016 Annualized % gain 2000-2016 Max peak-to-trough loss (%)

The Dines Letter Stock timing only: Short-term model--shorting allowed 0.23 -48.97

The Dines Letter Stock timing only: Short-term model--cash on sell signals 2.89 -31.65

The Elliott Wave Financial Forecast Stock timing only: Traders--shorting allowed on sell signals -5.40 -70.38

The Elliott Wave Financial Forecast Stock timing only: Investors--cash on sell signals 1.72 -3.41

InvesTech Research Portfolio Strategy Stock timing only: Recommended equity allocation 4.95 -31.90

Doug Fabian's Successful ETF Investing Stock timing only: Domestic Fund Composite 1.24 -27.10

The Value Line Investment Survey Stock timing only: Recommended equity allocation 3.38 -41.09

Cabot Growth Investor Stock timing only: Cabot Growth Investor--Cabot's Model Portfolio 3.39 -31.43

Medical Technology Stock Letter Stock timing only: Model Portfolio 3.65 -49.17

The Chartist Stock timing only: Actual Cash Account 3.38 -22.62

The Dines Letter Stock timing only: Nearer-Term Trading Portfolio 2.58 -50.96

The Prudent Speculator Stock timing only: The TPS portfolio 1.85 -67.47

Bob Brinker's Marketimer Stock timing only: Aggressive Growth Mutual Fund Portfolio 7.09 -50.96

Moneyletter Stock timing only: Venturesome Portfolio 3.61 -43.32

The No-Load Fund Investor Stock timing only: Master Wealth Builder Portfolio 4.85 -48.95

The Chartist Stock timing only: Traders Portfolio 6.32 -44.12

The Dines Letter Stock timing only: Intermediate-term model--shorting allowed 1.40 -53.95

The Dines Letter Stock timing only: Intermediate-term model--cash on sells 3.60 -28.69

Timer Digest Stock timing only: "Top 10 Consensus''--cash on sells 6.70 -26.11

Timer Digest Stock timing only: "Top 10 Consensus''--shorting allowed 7.10 -43.81

BI Research Stock timing only: Recommended equity allocation 3.75 -44.03

Moneyletter Stock timing only: Conservative Portfolio 4.12 -42.20

Moneyletter Stock timing only: Moderate Portfolio 4.32 -40.97

The Outlook Stock timing only: Recommended equity allocation 2.06 -50.96

Crawford Perspectives Stock timing only: Stock timing model--cash on sell signals -1.21 -38.54

Crawford Perspectives Stock timing only: Stock timing model--shorting allowed -11.35 -88.30

Dow Theory Forecasts Stock timing only: Recommended equity exposure 3.74 -40.10

No-Load Mutual Fund Selections & Timing Newsletter Stock timing only: Intermediate term model--shorting allowed -1.57 -38.35

No-Load Mutual Fund Selections & Timing Newsletter Stock timing only: Intermediate term model--cash on sells -0.15 -30.48

No-Load Mutual Fund Selections & Timing Newsletter Stock timing only: Long Term model--shorting allowed -1.06 -41.44

No-Load Mutual Fund Selections & Timing Newsletter Stock timing only: Long Term model--cash on sell signals 1.26 -29.10

No-Load Mutual Fund Selections & Timing Newsletter Stock timing only: Growth Portfolio 3.90 -18.32

The Blue Chip Investor Stock timing only: The Quality Growth Account 4.83 -49.69

Richard E. Band's Profitable Investing Stock timing only: Total Return-Portfolio 4.00 -42.35

Mutual Funds Magazine Stock timing only: Seasonality Timing System 4.33 -35.20

National Trendlines Stock timing only: Recommended mutual fund allocation 0.09 -24.77

Todd Market Forecast Stock timing only: Intermediate Term System -1.37 -63.87

U.S. Investment Report Stock timing only: Conservative Growth Portfolio -0.03 -44.76

U.S. Investment Report Stock timing only: Growth Leaders Portfolio 1.24 -32.10

Independent Adviser for Vanguard Investors Stock timing only: Growth Portfolio 4.10 -50.97

Vickers Weekly Insider Report Stock timing only: Insiders Portfolio 3.22 -47.94

Vickers Weekly Insider Report Stock timing only: Risk Portfolio 3.22 -48.08

All Star Investor Stock timing only: ETF Sector Rotation 1.28 -41.66

The Chartist Mutual Fund/ETF Letter Stock timing only: Actual Cash Account 4.00 -37.05

The Peter Dag Portfolio Strategy & Mgmt Stock timing only: Fidelity No-Load Portfolio 2.51 -49.05

National Trendlines Stock timing only: OEX Traders--cash on sell signals 0.20 -13.85

National Trendlines Stock timing only: OEX Traders--shorting allowed on sells -8.27 -83.38

Moneyletter Stock timing only: Conservative Fidelity Portfolio 4.29 -42.24

Moneyletter Stock timing only: Conservative Vanguard Portfolio 4.16 -42.15

Moneyletter Stock timing only: Moderate Fidelity Portfolio 4.34 -41.74

Moneyletter Stock timing only: Moderate Vanguard Portfolio 4.26 -42.33

Moneyletter Stock timing only: Venturesome Fidelity Portfolio 3.72 -43.96

Moneyletter Stock timing only: Venturesome Vanguard Portfolio 3.68 -44.06

Independent Adviser for Vanguard Investors Stock timing only: Growth Index Portfolio 4.10 -50.96

U.S. Investment Report Stock timing only: Emerging Growth Portfolio 0.73 -36.05

Value Line Inv. Survey Small & Mid-Cap Ed Stock timing only: Recommended equity allocation 3.35 -41.14

The Outlook Stock timing only: S&P's Platinum Portfolio 2.04 -50.96

Fidelity Investor Stock timing only: Growth Portfolio 4.04 -47.73

Fidelity Investor Stock timing only: Income Portfolio 4.37 -41.87

Fidelity Investor Stock timing only: Growth & Income Portfolio 3.93 -46.33

Dow Theory Forecasts Stock timing only: Interpretation of Dow Theory 1.49 -60.43

The Blue Chip Investor Stock timing only: Stock timing signals--short allowed 7.07 -50.96

The Blue Chip Investor Stock timing only: Stock timing signals--cash on sells 5.99 -50.96

Currin Technology Stock timing only: Portfolio A 4.28 -49.11

Currin Technology Stock timing only: Portfolio B 4.05 -50.10

Bob Carlson's Retirement Watch Stock timing only: Sector Portfolio (Managed) 4.57 -48.46

Bob Carlson's Retirement Watch Stock timing only: Balanced Portfolio (Managed) 4.50 -48.46

Fidelity Sector Investor Stock timing only: Fidelity Sector Investor Portfolio 4.33 -49.53

Nate's Notes Stock timing only: Model Portfolio 3.25 -45.47

Nate's Notes Stock timing only: Aggressive Portfolio 1.84 -71.82

Fidelity Investor Stock timing only: Aggressive Growth Portfolio 4.30 -47.81

Mechanical Strategy Stock timing only: Sell in May and Go Away/aka Halloween Indic. 5.23 -29.99

Timer Digest Stock timing only: "Top Long Term Timers''--cash on sells 5.47 -27.24

Timer Digest Stock timing only: "Top Long Term Timers''--short on sells 4.46 -38.93

Stock Market Timing Study

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