Monthly Moving Average (MMA) Timing Test Results: U.S. Size, Momentum, and Value Factor Indices, 1928 – 2015

The following table shows the historical win rate and average excess performance of the MMA timing strategy versus the X/Y portfolio and the RISK portfolio in the the size, momentum, and value factor indices constructed by the Center for Research in Stock Prices (CRSP):

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The following tables show the performance numbers of the different strategies for each factor index.  For the different factors–size, momentum, and value–1/10 represents the collection of stocks with the lowest, and 10/10 the collection of stocks with the highest:

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The following charts provide visual illustrations of the individual performances.  The tables to the right of the charts show the MMA strategy’s entry/exit dates and registered gains/losses (relative to buy and hold).  The charts and tables form a slideshow that begins when any image is clicked:

Source: CRSPGoyal.