ETF Momentum Signal
for July 2016 (Final)
Second Place ETF
Third Place ETF
|Gross Compound Annual Growth Rates
(Since August 2006)
|Top 1 ETF||Top 2 ETFs|
|Top 3 ETFs||SPY|
Last Updated: September 6, 2010 • Posted in Individual Gurus
A reader requested that we evaluate the performance of Jim Rohrbach, president of Investment Models, Inc.. According to his web site, Mr. Rohrbach’s stock market timing service (based on the proprietary Rohrbach Index, or RIX) is “designed for timing retirement no-load mutual funds and individual stocks by avoiding stock market crashes and helping investors keep their IRA in bull markets and out of bear markets using technical analysis timing models.” He advises that: “The stock market can be timed!!! Don’t believe the ‘experts’ who tell you that it can’t be done.” Using his self-reported recent trading record, daily dividend-adjusted closes for S&P Depository Receipts (SPY) and daily yields for 13-week Treasury bills (T-bills) over the period 3/24/03 through 12/31/09, we find that:
Jim Rohrbach’s recent trading record lists 46 switches between stocks and cash during 3/24/03 through 12/31/09, starting with a BUY on 3/24/03 and ending with a BUY on 11/17/09. In analyzing this record, we make the following assumptions:
The following chart compares the cumulative values of $10,000 initial investments for Jim Rohrbach’s strategy and for the buy-and-hold and 10-month SMA benchmark strategies over the period 3/24/03 through 12/31/09. As modeled, Jim Rohrbach’s strategy lags both benchmarks all or most of the time. However, the sample period is short (especially for the 10-month SMA benchmark strategy).
Excluding Jim Rohrbach’s annual fee increases the terminal value of his strategy to nearly that of the buy-and-hold benchmark. Said differently, Jim Rohrbach’s strategy performance is more attractive compared to buy-and-hold (about the same terminal values with lower volatility) for an initial investment amount much larger than $10,000.
Since cumulative value analyses are sensitive to start and stop dates, we also look at annual returns.
The next chart compares the calendar year returns for Jim Rohrbach’s strategy and the two benchmark strategies, with 2003 a partial year commencing 3/24/03. Jim Rohrbach’s strategy beats the buy-and-hold (10-month SMA) strategy only in 2008 (2003). Again, the annual fee of $395 materially degrades the performance of Jim Rohrbach’s strategy.
In summary, evidence from straightforward tests on a fairly small sample does not support a belief that Jim Rohrbach’s timing approach (including service fees) beats simple benchmarks.
See “Jim Rohrbach’s Disagreement with Review of His Technical Timing Approach” for counterpoint.
Momentum Strategy and Trading Calendar Updates
June 30, 2016
Preliminary Momentum Strategy Update
June 30, 2016
Long-term SMA and TOTM Combination Strategy
June 30, 2016
Does the Turn-of-the-Month Effect Work for Sectors?
June 29, 2016
Turn-of-the-Month Effect Persistence and Robustness
June 28, 2016
ADP Employment Report and Stock Returns
June 27, 2016