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About our bond timing model |
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Written by Dennis Tilley
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June 30, 2008 |
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Our bond timing model is used for trading mutual funds and exchange
traded funds that hold high-grade U.S. bonds. Typically, high-grade
bond funds hold U.S. treasuries, mortgage-backed and high-quality
corporate securities. You can consult Morningstar at their website, www.morningstar.com,
to find the average credit quality of any bond fund (look for funds
that have an average credit quality of A or above). Practically every
401k plan has a high-grade general bond fund.
The objective of the timing model is to achieve returns that are
similar to that of buy and hold, but at risk levels that are reduced by
30%. The system uses a trend-following approach and is designed to
trade 1 to 2 round trips per year. At this time, we are not disclosing
the exact trading rules of this model.
We are often asked if this model can be applied to high-yield junk bond
funds. The short answer to this question is no. It is also not
applicable to emerging market and foreign bond funds.
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