Moving Averages: Month-End Update - Loss For S&P
Doug Short | Jun 30, 2013 02:54AM ET
The S&P 500 closed May with a monthly loss of 1.50%. All three S&P 500 MAs and three of the five the Ivy Portfolio ETF MAs are signaling "Invested".
The Ivy Portfolio
The table below shows the current 10-month simple moving average (SMA) signal for each of the five ETFs featured in The Ivy Portfolio. I've also included a table of 12-month SMAs for the same ETFs for this popular alternative strategy, three of which (IEF and DBC) are signaling "cash" for the benchmark 10-month MA and two for the 12-month MA alternate strategy.
Backtesting Moving Averages
- A Quantitative Approach to Tactical Asset Allocation . The article has now been updated and expanded as Part Three: Active Management his book The Ivy Portfolio, coauthored with Eric Richardson. This is a "must read" for anyone contemplating the use of a timing signal for investment decisions.
The book analyzes the application of moving averages the S&P 500 and four additional asset classes: the Morgan Stanley Capital International EAFE Index (MSCI EAFE), Goldman Sachs Commodity Index (GSCI), National Association of Real Estate Investment Trusts Index (NAREIT), and United States government 10-year Treasury bonds.
As a regular feature of this website, I try to update the signals at the end of each month.
Footnote on calculating monthly moving averages: If you're making your own calculations of moving averages for dividend-paying stocks or ETFs, you will occasionally get different results if you don't adjust for dividends. For example, late last year, VNQ remained invested at the end of November based on adjusted monthly closes, but there was a sell signal if you ignored dividend adjustments. Because the data for earlier months will change when dividends are paid, you must update the data for all the months in the calculation if a dividend was paid since the previous monthly close. This will be the case for any dividend-paying stocks or funds.
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