Performance of the Investment Strategy based on the MMSignal Model

The comparison between the MMSignals strategy and the S&P was made with the most conservative application of our model. In other words, the MMSignals strategy here stands for simple buy/sell of the S&P 500 index through SPY, based on the MMSignals model. The asset in the MMSignals strategy will be in the S&P index when the model calls for a buy, and be in cash when the model calls for a sell. When in cash, we assume no value is added. The results are shown in the chart below. In the 12 year period to the end of 2004, the investment by the MMSignal strategy grew to over $105,000, compared to just under $26,000 by the S&P 500 index, taking into account a $10 commission fee per trade. 

It is worth knowing that in the late 1990s, the S&P had its best performance in over 50 years. If this graph was started at 2000, the margin of the MMSignals model over the S&P 500 would be much greater.

The average annual return of the investment by the MMSignal strategy during this time was 23.87%, compared to 9.07% by the S&P. The consistency is also evident: the investment by the MMSignal strategy does not have even a single down year during this stretch, while the S&P has experienced 4 down years.

Similar comparisons can also be made when applying the MMSignals model to QQQQ or Sector Spiders. In general, the MMSignals model performs even better for QQQQ and high beta ETFs than with the S&P 500 index.

In reality, the asset in MMSignals strategy will have room to grow when it is in cash. First of all, even if it is indeed in cash, it will be in a money market fund and earn interest. Second, there is always a bull market somewhere. With the broad market down or with high risk/return ratio, we can easily find better and safer investment vehicles from the wide range of the market segments to grow our money. For instance,  we may find gold or bonds more attractive, or a sector that is not affected by the downtrend of the broad market.

For detailed historical buy/sell calls by the MMSignals on a year-to-year basis, please click on the year: 2004, 2003, 2002, 2001, 2000, 1999, 1998, 1997, 1996, 1995, 1994. In addition to the MMSignal graphs, those links also contains actual market turning history.

MMSignal Database for Key Indexes and ETFs

S&P 500 Index (or SPY) - MMSignals database for the broad market, i.e., the S&P 500 index, starts from 1950. You have seen some summaries in "Signal 101". Here is the place if you need all details. Knowing how the MMSignals model has worked in the history certainly will help you a lot when you are reading the current markets. Click on the year listed below to see the yearly history of the MMSignal for the S&P 500, as well as the changes in the S&P 500 index from 1980 to 2005.Please note that the MMSignal for S&P is identical to that for SPY. If you need the database in the form of a spreadsheet to do your own research, write to info@mmsignals.com.

S&P 500 index yearly database -   2000          2001          2002          2003          2004          2005

 1990         1991       1992       1993       1994       1995       1996       1997       1998        1999

 1980         1981       1982       1983       1984       1985       1986       1987       1988        1989

MidCap SPDR (MDY), iShares Russell 2000 Index (IWM) and Nasdaq 100 Trust Shares (QQQQ) - The histories of these three popular ETF's are significant shorter than that of the S&P 500 index. MMSignals presents their yearly histories from 2000. Please follow the links in the table below to view. Again, if you need the database in the form of a spreadsheet to do your own research, write to info@mmsignals.com.

MidCap SPDR (MDY) yearly database -       2000          2001          2002          2003          2004          2005

iShares Russell 2000 Index (IWM) yearly database -       2000          2001          2002          2003          2004          2005

Nasdaq 100 Trust Shares (QQQQ) yearly database -     2000          2001          2002          2003          2004          2005

Sector SPDRs (XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY) -  Sector SPDRs started to trade at the end of 1998. MMSignals also present their yearly databases below, starting from 2000. Please follow the links in the table below to view. Again, if you need the database in the form of a spreadsheet to do your own research, write to info@mmsignals.com.

streetTRACKS Gold Shares (GLD) and iShares Lehman TIPS Bond (TIP) - GLD started trading late 2004 and our current MMSignal chart represents its entire history already. TIP has a history of about two years. Its yearly database are here to view by click: 2004 and 2005. If you need the database in the form of a spreadsheet to do your own research, write to info@mmsignals.com.

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