Monthly Moving Average (MMA) Timing Test Results: 10 U.S. Sectors, 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 10 U.S. sector indices:


The following tables show the performance numbers of the different strategies for each sector 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:

Source: CRSP, Goyal.