Monthly Moving Average (MMA) Timing Test Results: 30 U.S. Industries, 1928 – 2015

The following table shows the historical win percentage and average excess performance of the MMA timing strategy versus the X/Y portfolio and the RISK portfolio for 30 U.S. industry indices:


The following table shows the performance numbers of the different strategies for each industry index:


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:

The 30 industries are defined as follows:


Source: CRSPGoyal.