I know that this topic may be an anathema to hardcore Buy-and-Holders, but since it is an academic investing topic and utilizes index funds, I thought it appropriate for discussion here.
Optional context: http://www.philosophicaleconomics.com/2015/12/backtesting/
Optional context: http://www.philosophicaleconomics.com/2015/10/bfskinner/
Required prerequisite: http://www.philosophicaleconomics.com/2016/01/movingaverage/
The actual strategy: http://www.philosophicaleconomics.com/2016/01/gtt/
It seems that macroeconomic theory, rather than back-testing or finding past anomalies via “psychological drivers”, drives this method seemingly similar to Dual Momentum - similar since it uses Moving Averages, but different since it really has little to do with testing one fund against another. In fact in the required prerequisite reading the author indicates why moving average methods are preferable to momentum (despite performance being roughly equivalent).
It is truly a long read, especially if you “learn yourself” through both entries. Based on a few looks over Jesse’s graphs, it appears not to have outperformed a Buy-and-Hold portfolio of the S&P 500 index in all periods though… thoughts?
TL; DR: 170 bps over Buy&Hold over the last 100 years - is that enough for you to switch?