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Ron,
Nelson Freeburg (Formula Research) has a mutual fund switching system
derived from work by John Hussman (Hussman Econometrics) that uses bond
yields, tbill yields, inflation rate and dividend yield. It is not exactly
what you are talking about here but it is in the same vein, and he says it
is one of the most profitable mutual fund timing systems he has ever seen.
It was written up in TASC sometime last year, and also available from
Formula Research. Hussman has done alot of research in this area.
David Cicia
>The numbers I had posted were the
>result of exploring a relationship between changes in the weekly closing
>price of the S&P 500 and the weekly changes of the tbill yield. I wanted
>to see if a profitable timing system for trading mutual funds would be
>feasible. The premise was the importance of being aware of aspects of the
>investing environment that would impact on trading results. An article in
>the recent issue of BLoomberg mag. mentions "the difference between the
>yields on 10-year treasury bonds and 3-month tbills, known as the curve's
>slope, reflects the market's perception of the state of the economy."
>William Wilson,vice president and economist at Comerica Bank in detroit
>goes on to say "When T-bill yields have exceeded bond yields, there has
>always been a recession, and there has never been a false recession
>signal."
>
>Ron McEwan
>
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